taiwan财务管理_lecture9(ch9)

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1、Irwin/McGraw-HillChapter 9Fundamentals of Corporate FinanceThird EditionIntroduction to Risk,Return,and the Opportunity Cost of CapitalBrealey Myers Marcusslides by Matthew WillIrwin/McGraw-HillThe McGraw-Hill Companies,Inc.,2001Topics CoveredRates of Return73 Years of Capital Market HistoryMeasurin

2、g RiskRisk&DiversificationThinking About RiskRates of Return39.5%or .395=ReturnPercentage741.25+28Percentage Return=Capital Gain+Dividend Initial Share PriceRates of ReturnDividend Yield=Dividend Initial Share PriceCapital Gain Yield=Capital GainInitial Share PriceRates of Return%01.7or 017.741.25=Y

3、ieldDividend%37.8or 378.7428=YieldGain CapitalRates of ReturnNominal vs.Real1+real ror=1+nominal ror1+inflation rate37.3%ror real 373.1=ror real+1.016+1.395+1Market IndexesDow Jones Industrial Average(The Dow)Value of a portfolio holding one share in each of 30 large industrial firms.Standard&Poors

4、Composite Index(The S&P 500)Value of a portfolio holding shares in 500 firms.Holdings are proportional to the number of shares in the issues.The Value of an Investment of$1 in 1926Source:Ibbotson Associates0.110100019301940195019601970198019901998Common StocksLong T-BondsT-BillsIndexYear EndRates of

5、 Return 1926-1998Source:Ibbotson Associates-60-40-200204060263035404550556065707580859095Common StocksLong T-BondsT-BillsYearPercentage ReturnExpected Return9.3+4.8=14.1%(1999)9.3+14=23.3%(1981)premiumrisk normal+billsTreasury on rateinterest=returnmarket ExpectedMeasuring RiskVariance-Average value

6、 of squared deviations from mean.A measure of volatility.Standard Deviation-Average value of squared deviations from mean.A measure of volatility.Measuring RiskCoin Toss Game-calculating variance and standard deviation(1)(2)(3)Percent Rate of ReturnDeviation from MeanSquared Deviation+40+30900+1000+

7、1000-20-30900Variance=average of squared deviations=1800/4=450Standard deviation=square of root variance=450=21.2%Risk and DiversificationDiversification-Strategy designed to reduce risk by spreading the portfolio across many investments.Unique Risk-Risk factors affecting only that firm.Also called“

8、diversifiable risk.”Market Risk-Economy-wide sources of risk that affect the overall stock market.Also called“systematic risk.”Risk and DiversificationDeviation fromSquaredYearRate of ReturnAverage ReturnDeviation19941.31-23.44549.43199537.4312.68160.78199623.07-1.62.82199733.368.6174.13199825.583.8

9、314.67Total123.75801.84Average rate of return=123.75/5=24.75Variance=average of squared deviations=801.84/5=160.37Standard deviation=squared root of variance=12.66%Risk and DiversificationPortfolio rateof return=fraction of portfolioin first assetxrate of returnon first asset+fraction of portfolioin

10、 second assetxrate of returnon second asset()Stock Market Volatility 1926-19980102030405060192619351940194519501955196019651970197519801985199019951998Std DevRisk and Diversification051015Number of SecuritiesPortfolio standard deviationRisk and Diversification051015Number of SecuritiesPortfolio standard deviationMarket riskUniquerisk