《金融学教学》bodie2echapter13PPT课件.ppt

Chapter 13:  Capital Market Equilibrium
Objective
The Theory of the CAPM
Use of CAPM in benchmarking
Using CAPM to determine
correct rate for
discounting
1
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Introduction
CAPM is a theory about equilibrium prices in the markets for risky assets
It is important because it provides
a justification for the widespread practice of passive investing called indexing
a way to estimate expected rates of return for use in evaluating stocks and projects.
2
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Introduction
Relationship between CAPM and other contents we have learned so far.
In part III we learned the valuation of securities and projects, by using NPV-rule, but we didn’t consider the influence of risk.
In part IV we learned that risk should be managed by the mean-variance method, in which risk should get its reward, and would influence the valuation of portfolios or projects.
CAPM bine the previous 2 parts, and give us a tool of valuation WITH risk.
3
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
Chapter 13 Contents
The Capital Asset Pricing Model in Brief
Determining the Risk Premium on the Market Portfolio
Risk Premiums on Individual Securities: SML
Using the CAPM in Portfolio Selection
Valuation & Regulating Rates of Return
Modifications and Alternatives to the CAPM
4
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
The Capital Asset Pricing Model in Brief
Developed in the 1960’s by Sharp, and independently by Lintner, and Mossin
It answers the question
What would equilibrium risk premiums be if
people had the same set of forecasts of expected returns, risk, and correlations
all chose their portfolios according the principles of efficient diversification
5
Copyright © 2009 Pearson Education, Inc. Publishing as Prentice Hall
So what’s wrong with ms-analysis
The assumptions