资本定价模型.ppt

第9章资本资产定价模型The Capital Asset Pricing Model
股票的需求与均衡价格
资本资产定价模型
资本资产定价模型的扩展形式
资本资产定价模型与流动性
资本资产定价模型 Capital Asset Pricing Model (CAPM)
The supply and demand for shares determine equilibrium prices and expected rates of return. Imagine a simple world with only two corporations: Bottom Up Inc. (BU) and Top Down Inc. (TD). Stock prices and market values are shown in Table . Investors can also invest in a money market fund (MMF) which yields a risk-free interest rate of 5%.
股票的需求与均衡价格DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
Sigma Fund is a new actively managed mutual fund that has raised $220 million to invest in the stock market. The security analysis staff of Sigma believes that neither BU nor TD will grow in the future and therefore, that each firm will pay level annual dividends for the foreseeable future. This is a useful simplifying assumption because, if a stock is expected to pay a stream of level dividends, the e derived from each share is a perpetuity. Therefore, the present value of each share often called the intrinsic value of the share equals the dividend divided by the appropriate discount rate. A summary of the report of the security analysts appears in Table .
股票的需求与均衡价格DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
股票的需求与均衡价格DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
Using these data and assumptions Sigma easily generates the efficient frontier shown in Figure putes the optimal portfolio proportions corresponding to the tangency portfolio. These proportions, combined with the total investment budget, yield the fund’s buy orders. With a budget of $220 million, Sigma wants a position in BU of $220,000,000 X =$177,540,000, or $177,540,000/39 =4,552,308 shares, and a position in TD of $220,000,000 X = $42,460,000, which corresponds to 1,088,718 shares.
股票的需求与均衡价格DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
The expected rates of return that Sigma used to derive its demand for shares of BU and TD puted from the fore