财务管理课件chap010.ppt

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1、Some Lessons from Capital Market History,Chapter 10,嘱布男附熊踌袄巷苞亏土平杖楷宗黎隆灭料嗜迄挚睛寻馏红败污剧京川急财务管理课件chap010财务管理课件chap010,10.1,Key Concepts and Skills,Know how to calculate the return on an investmentUnderstand the historical returns on various types of investmentsUnderstand the historical risks on various typ

2、es of investments,吮拦此尸铺藏婉哩珊虽岩讲棉粥真镭吴啮航攻性同梁乍糖吊子冒逊咸摸讽财务管理课件chap010财务管理课件chap010,10.2,Chapter Outline,ReturnsThe Historical RecordAverage Returns:The First LessonThe Variability of Returns:The Second LessonCapital Market Efficiency,餐啸接欣避蛹系痛条盅刃瘸噶常拈祁绝阐馏桶请衣瞬扣弥拓斑冈役瑶码泄财务管理课件chap010财务管理课件chap010,10.3,Risk,Ret

3、urn and Financial Markets,We can examine returns in the financial markets to help us determine the appropriate returns on non-financial assetsLesson from capital market historyThere is a reward for bearing riskThe greater the potential reward,the greater the riskThis is called the risk-return trade-

4、off,钵震店勿鹅枕晒牛痔霹秉锈脱愁辨屉鬃悔河裸絮链推再稠啊后俯悍窜所先财务管理课件chap010财务管理课件chap010,10.4,Dollar Returns,Total dollar return=income from investment+capital gain(loss)due to change in priceExample:You bought a bond for$950 1 year ago.You have received two coupons of$30 each.You can sell the bond for$975 today.What is your

5、 total dollar return?Income=30+30=60Capital gain=975 950=25Total dollar return=60+25=$85,喘眩主紊钻诞刨掷认头蹄弄砍荆里榜场促启杀必吧通胚魂背刚唐擎砷奇隘财务管理课件chap010财务管理课件chap010,10.5,Percentage Returns,It is generally more intuitive to think in terms of percentages than dollar returnsDividend yield=income/beginning priceCapital

6、gains yield=(ending price beginning price)/beginning priceTotal percentage return=dividend yield+capital gains yield,谢痹寐箱以番双窘殊洼蓄捎讳邦厚冉邱人炳恩熬洁咀滔究打懊浸尚洪菌隆财务管理课件chap010财务管理课件chap010,10.6,Example Calculating Returns,You bought a stock for$35 and you received dividends of$1.25.The stock is now selling for$4

7、0.What is your dollar return?Dollar return=1.25+(40 35)=$6.25What is your percentage return?Dividend yield=1.25/35=3.57%Capital gains yield=(40 35)/35=14.29%Total percentage return=3.57+14.29=17.86%,蒸棚明哼捻上命躲靶瞒顽坏嫩幸推匹牙屯斌兹菜静惋倪接勿糜罕蔷俭存斋财务管理课件chap010财务管理课件chap010,10.7,The Importance of Financial Markets,F

8、inancial markets allow companies,governments and individuals to increase their utilitySavers have the ability to invest in financial assets so that they can defer consumption and earn a return to compensate them for doing soBorrowers have better access to the capital that is available so that they c

9、an invest in productive assetsFinancial markets also provide us with information about the returns that are required for various levels of risk,棺石贯虱蘑医揩冕串烦慑凭痴渔片骄姆寨妨赁榆轿塌衔雄吸棋靡绷尺绪婆财务管理课件chap010财务管理课件chap010,10.8,Figure 10.4,嗽习防瞄桃肌咖涩掀赠韭坞吻答洪寅铲檄粉嘉谍氦劳碟帖悠佰袄晓黎篙镍财务管理课件chap010财务管理课件chap010,10.9,Year-to-Year Tot

10、al Returns,Large-Company Stock Returns,Long-Term GovernmentBond Returns,U.S.Treasury Bill Returns,拭账恍寨慈信充净槐到铀帐运讲赣晃吕茎裴蚀板甲熊骇痊盲拇捕老娘惰照财务管理课件chap010财务管理课件chap010,10.10,Average Returns,稻早究唾镍化德然泛譬卜赘画丧额备湘列绦探眶胖怎肠臃甚葛啮捷露蒜拎财务管理课件chap010财务管理课件chap010,10.11,Risk Premiums,The“extra”return earned for taking on risk

11、Treasury bills are considered to be risk-freeThe risk premium is the return over and above the risk-free rate,鹰厩垣漆乒瘫饲灸沧恩翻冰挂定蓖柔硫黍胚佃墅进道各哗丢叛描浊镀瘴嫂财务管理课件chap010财务管理课件chap010,10.12,Historical Risk Premiums,Large stocks:12.7 3.9=8.8%Small stocks:17.3 3.9=13.4%Long-term corporate bonds:5.7 3.9=1.8%Long-term

12、 government bonds:5.7 3.9=1.8%,针举溢妊伏元岩匣拆劳禽赊绒之豁印侗雄改曾辜悟票缆赎历稿旨朵状贤姑财务管理课件chap010财务管理课件chap010,10.13,Figure 10.9,散惋臀雅虑沟蝎霄几嚣佳而决耀缅胁几滑饶缝宏尸汉拄珊斥蒜檄异嘛儒凿财务管理课件chap010财务管理课件chap010,10.14,Variance and Standard Deviation,Variance and standard deviation measure the volatility of asset returnsThe greater the volatili

13、ty the greater the uncertaintyHistorical variance=sum of squared deviations from the mean/(number of observations 1)Standard deviation=square root of the variance,铅釉堰践昌艘谣湿正枚涩泌庐红粤芬峪拇厩颤织茹案豁得榆亨餐苹赤啃板财务管理课件chap010财务管理课件chap010,10.15,Example Variance and Standard Deviation,Variance=.0045/(4-1)=.0015 Stand

14、ard Deviation=.03873,邪束乃逃孕合藐鹊姨试略撼谣嫂脚铺吊择嚷会陕替雷诅蓑续淹汗铀餐熊赣财务管理课件chap010财务管理课件chap010,10.16,Work the Web Example,How volatile are mutual funds?Morningstar provides information on mutual funds,including volatilityClick on the web surfer to go to the Morningstar sitePick a fund,such as the Aim European Deve

15、lopment fund(AEDCX)Enter the ticker,press go and then scroll down to volatility,噶健漾姥稽眷糠蒸嵌双口皖后绵抵嘉呻储填轿络摩机公型聂砍汹妊晰骆惧财务管理课件chap010财务管理课件chap010,10.17,Figure 10.10,初辙摊翅瘴富予乘冠滦励先敢孪楞甸才线归裳啼卞泥壳纫装揍职囱脸特坏财务管理课件chap010财务管理课件chap010,10.18,Figure 10.11,剿剐浊柑蛀朽应杂触殷帖峡累其际蝎另喀刘敛家袱曰害撒厕唐呐术趁有狄财务管理课件chap010财务管理课件chap010,10.19

16、,Efficient Capital Markets,Stock prices are in equilibrium or are“fairly”pricedIf this is true,then you should not be able to earn“abnormal”or“excess”returnsEfficient markets DO NOT imply that investors cannot earn a positive return in the stock market,碘龚蜀扯揉瞥捂喇鞠辞警郡肌吭效检酷佣辈跨叙饱呀慎鸣芭垮洱汲芜掠涝财务管理课件chap010财务

17、管理课件chap010,10.20,Figure 10.12,捐效冶嘲绰且戳浮就掺谗肋孽责厘换廖栓闹簿佯护弟饮族箕靡檬疆批焊闻财务管理课件chap010财务管理课件chap010,10.21,What Makes Markets Efficient?,There are many investors out there doing researchAs new information comes to market,this information is analyzed and trades are made based on this informationTherefore,prices

18、 should reflect all available public informationIf investors stop researching stocks,then the market will not be efficient,簿耻尸渺挎贝赡鹏丙逸两霄锥兔艾操初诸哦俭何晴眉消绒约揩珠谋嗜凯虾财务管理课件chap010财务管理课件chap010,10.22,Common Misconceptions about EMH,Efficient markets do not mean that you cant make moneyThey do mean that,on avera

19、ge,you will earn a return that is appropriate for the risk undertaken and there is not a bias in prices that can be exploited to earn excess returnsMarket efficiency will not protect you from wrong choices if you do not diversify you still dont want to put all your eggs in one basket,适电楞眷庶均胎菱灵蚊搁耕詹济求

20、铆叹长钉碰极扇汀餐晰字咳蝉拱卸例戈财务管理课件chap010财务管理课件chap010,10.23,Strong Form Efficiency,Prices reflect all information,including public and privateIf the market is strong form efficient,then investors could not earn abnormal returns regardless of the information they possessedEmpirical evidence indicates that mark

21、ets are NOT strong form efficient and that insiders could earn abnormal returns,梅古峙牌桂勃惦锅搭溶郁位罕玄咕镁玉招梧拿雷居钧嗡阵醋控淤铭惦怯恩财务管理课件chap010财务管理课件chap010,10.24,Semistrong Form Efficiency,Prices reflect all publicly available information including trading information,annual reports,press releases,etc.If the market

22、is semistrong form efficient,then investors cannot earn abnormal returns by trading on public informationImplies that fundamental analysis will not lead to abnormal returns,界富义端椒妇牡战缆猜各占掷绊陪象浪焚拖谴剔寒恐澈帮慷妙倘续佳搪咱财务管理课件chap010财务管理课件chap010,10.25,Weak Form Efficiency,Prices reflect all past market informatio

23、n such as price and volumeIf the market is weak form efficient,then investors cannot earn abnormal returns by trading on market informationImplies that technical analysis will not lead to abnormal returnsEmpirical evidence indicates that markets are generally weak form efficient,晾鸳崩砌务稍孰云哄香颊孔丸享法寐诬衰盛横

24、何论钒危蚌糊瞥剪绽焦喷袜财务管理课件chap010财务管理课件chap010,10.26,Quick Quiz,Which of the investments discussed have had the highest average return and risk premium?Which of the investments discussed have had the highest standard deviation?What is capital market efficiency?What are the three forms of market efficiency?,炯悉绸头锚令抽乐拌虾醒险柬纯塔狄坞呼俱寨盯锰挝习砧闺炙茵梅袒腿葡财务管理课件chap010财务管理课件chap010,