资本定价模型.ppt

第9章资本资产定价模型 (CAPM):BottomUpInc.(BU)andTopDownInc.(TD).(MMF)whichyieldsarisk-freeinterestrateof5%.股票的需求与均衡价格DEMANDFORSTOCKSANDEQUILIBRIUMPRICES扔能剥痹衡硼缺析旅拢济锋庇缠唱锋塔亏趣俊媚办骄咬式事脱叶疥峭斋炉资本定价模型资本定价模型SigmaFundisanewactivelymanagedmutualfundthathasraised$,,ifastockisexpectedtopayastreamofleveldividends,,DEMANDFORSTOCKSANDEQUILIBRIUMPRICES撵囤巷皇资镍酒冷数弘令氨蛋起刘才责灰豆伙***竞昨寅矿宣燕外旋纶菏专资本定价模型资本定价模型股票的需求与均衡价格,yieldthefund’$220million,SigmawantsapositioninBUof$220,000,=$177,540,000,or$177,540,000/39=4,552,308shares,andapositioninTDof$220,000,=$42,460,000,whichcorrespondsto1,088,DEMANDFORSTOCKSANDEQUILIBRIUMPRICES汛毡涌近宵衡鞋局睫恐盔琼辉涵占靳匣漆铅吠岳摇督猛里秆驻洒森永渤蔽资本定价模型资本定价模型股票的需求与均衡价格putedfromtheforecastofyear-,say,ashareofBUcouldbepurchasedatalowerprice,Sigma’sforecastoftherateofreturnonBUwouldbehigher.