罗斯公司理财第十版第十二章

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Chapter 12An Alternative View of Risk and Return: The Arbitrage Pricing Theory

McGraw-Hill/Irwin

Copyright © 2010 by the McGraw-Hill Companies, Inc. All rights reserved. 12-1

Chapter Outline12.1 Introduction 12.2 Systematic Risk and Betas 12.3 Portfolios and Factor Models 12.4 Betas and Expected Returns 12.5 The Capital Asset Pricing Model and the Arbitrage Pricing Theory 12.6 Empirical Approaches to Asset Pricing

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Key Concepts and Skills

Discuss the relative importance of systematic and unsystematic risk in determining a portfolio’s return Compare and contrast the CAPM and Arbitrage Pricing Theory12-3

Arbitrage Pricing Theory

Stephen Ross Franco Modigliani Professor of Financial Economics Professor of Finance at the MIT Sloan School of Management.12-4

Stephen Ross Franco Modigliani Professor of Financial Economics Professor of Finance at the MIT Sloan School of Management.12-5

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Arbitrage arises if an investor can construct a zero investment portfolio with a sure profit.

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Arbitrage Pricing Theory Since no investment is required, an investor can create large positions to secure large levels of profit. In efficient markets, profitable arbitrage opportunities will quickly disappear.

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market is at equilibrium;

Arbitrage is the best examiner!

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Total Risk Total risk = systematic risk + unsystematic risk For well-persified portfolios, unsystematic risk is very small. the total risk for a persified portfolio is essentially equivalent to the systematic risk.12-11

Risk: Systematic and Unsystematic

b, the response of the 2

stock’s return to a systematic risk.Total risk

R R U becomes R R m ε where m is the systematic risk ε is the unsystemat ic riskn12-12

Nonsystematic Risk: Systematic Risk: m

12.2 Systematic Risk and Betas B: the response of the stock’s return to a systematic risk.

In the CAPM, b measures the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio.

Cov ( Ri , RM ) bi 2 ( RM )12-13

Systematic Risk and Betas

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