财务管理课件chap010

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1、McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/IrwinSome Lessons from Capital Market HistoryChapter 10McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.1Key Concepts and SkillsnKnow how to calculate the return on an investmentn

2、Understand the historical returns on various types of investmentsnUnderstand the historical risks on various types of investmentsMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.2Chapter OutlinenReturnsnThe Historical RecordnAverage Returns: The First LessonnT

3、he Variability of Returns: The Second LessonnCapital Market EfficiencyMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.3Risk, Return and Financial MarketsnWe can examine returns in the financial markets to help us determine the appropriate returns on non-finan

4、cial assetsnLesson from capital market historynThere is a reward for bearing risknThe greater the potential reward, the greater the risknThis is called the risk-return trade-offMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.4Dollar ReturnsnTotal dollar retur

5、n = income from investment + capital gain (loss) due to change in pricenExample:nYou 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 total dollar return?nIncome = 30 + 30 = 60nCapital gain = 975 950 = 25nTotal dollar re

6、turn = 60 + 25 = $85McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.5Percentage ReturnsnIt is generally more intuitive to think in terms of percentages than dollar returnsnDividend yield = income / beginning pricenCapital gains yield = (ending price beginning

7、 price) / beginning pricenTotal percentage return = dividend yield + capital gains yieldMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.6Example Calculating ReturnsnYou bought a stock for $35 and you received dividends of $1.25. The stock is now selling for $

8、40.nWhat is your dollar return?nDollar return = 1.25 + (40 35) = $6.25nWhat is your percentage return?nDividend yield = 1.25 / 35 = 3.57%nCapital gains yield = (40 35) / 35 = 14.29%nTotal percentage return = 3.57 + 14.29 = 17.86%McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.Mc

9、Graw-Hill/Irwin10.7The Importance of Financial MarketsnFinancial markets allow companies, governments and individuals to increase their utilitynSavers have the ability to invest in financial assets so that they can defer consumption and earn a return to compensate them for doing sonBorrowers have be

10、tter access to the capital that is available so that they can invest in productive assetsnFinancial markets also provide us with information about the returns that are required for various levels of riskMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.8Figure

11、10.4McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.9Year-to-Year Total ReturnsLarge-Company Stock ReturnsLong-Term GovernmentBond ReturnsU.S. Treasury Bill ReturnsMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.10Aver

12、age ReturnsInvestmentLarge stocksSmall StocksLong-term Corporate BondsLong-term Government BondsU.S. Treasury BillsInflationAverage Return12.7%17.3%6.1%5.7%3.9%3.1%McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.11Risk PremiumsnThe “extra” return earned for t

13、aking on risknTreasury bills are considered to be risk-freenThe risk premium is the return over and above the risk-free rateMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.12Historical Risk PremiumsnLarge stocks: 12.7 3.9 = 8.8%nSmall stocks: 17.3 3.9 = 13.4%

14、nLong-term corporate bonds: 5.7 3.9 =1.8%nLong-term government bonds: 5.7 3.9 = 1.8%McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.13Figure 10.9McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.14Variance and Standard D

15、eviationnVariance and standard deviation measure the volatility of asset returnsnThe greater the volatility the greater the uncertaintynHistorical variance = sum of squared deviations from the mean / (number of observations 1)nStandard deviation = square root of the varianceMcGraw-Hill 2004 The McGr

16、aw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.15Example Variance and Standard DeviationYear1234TotalsActual Return.15.09.06.12.42Average Return.105.105.105.105Deviation from the Mean.045-.015-.045.015.00Squared Deviation.002025.000225.002025.000225.0045Variance = .0045 / (4-1) = .0

17、015 Standard Deviation = .03873McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.16Work the Web ExamplenHow volatile are mutual funds?nMorningstar provides information on mutual funds, including volatilitynClick on the web surfer to go to the Morningstar sitenP

18、ick a fund, such as the Aim European Development fund (AEDCX)nEnter the ticker, press go and then scroll down to volatilityMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.17Figure 10.10McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGra

19、w-Hill/Irwin10.18Figure 10.11McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.19Efficient Capital MarketsnStock prices are in equilibrium or are “fairly” pricednIf this is true, then you should not be able to earn “abnormal” or “excess” returnsnEfficient marke

20、ts DO NOT imply that investors cannot earn a positive return in the stock marketMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.20Figure 10.12McGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.21What Makes Markets Efficie

21、nt?nThere are many investors out there doing researchnAs new information comes to market, this information is analyzed and trades are made based on this informationnTherefore, prices should reflect all available public informationnIf investors stop researching stocks, then the market will not be eff

22、icientMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.22Common Misconceptions about EMHnEfficient markets do not mean that you cant make moneynThey do mean that, on average, you will earn a return that is appropriate for the risk undertaken and there is not a

23、 bias in prices that can be exploited to earn excess returnsnMarket efficiency will not protect you from wrong choices if you do not diversify you still dont want to put all your eggs in one basketMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.23Strong Form

24、EfficiencynPrices reflect all information, including public and privatenIf the market is strong form efficient, then investors could not earn abnormal returns regardless of the information they possessednEmpirical evidence indicates that markets are NOT strong form efficient and that insiders could

25、earn abnormal returnsMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.24Semistrong Form EfficiencynPrices reflect all publicly available information including trading information, annual reports, press releases, etc.nIf the market is semistrong form efficient,

26、 then investors cannot earn abnormal returns by trading on public informationnImplies that fundamental analysis will not lead to abnormal returnsMcGraw-Hill 2004 The McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.25Weak Form EfficiencynPrices reflect all past market information

27、such as price and volumenIf the market is weak form efficient, then investors cannot earn abnormal returns by trading on market informationnImplies that technical analysis will not lead to abnormal returnsnEmpirical evidence indicates that markets are generally weak form efficientMcGraw-Hill 2004 Th

28、e McGraw-Hill Companies, Inc. All rights reserved.McGraw-Hill/Irwin10.26Quick QuiznWhich of the investments discussed have had the highest average return and risk premium?nWhich of the investments discussed have had the highest standard deviation?nWhat is capital market efficiency?nWhat are the three forms of market efficiency?