Empirical-Evidence-on-Se课件(PPT 72页)

INVESTMENTS|BODIE,KANE,MARCUSCopyright 2011 by The McGraw-Hill Companies,Inc.All rights reserved.McGraw-Hill/IrwinCHAPTER 13Empirical Evidence on Security Returns第1页，共72页。INVESTMENTS|BODIE,KANE,MARCUSOverview of InvestigationReturn-beta relationships are widely used in actual financial practice.The CAPM predicts expected rates of return on assets,relative to a market portfolio of all risky assets.13-2第2页，共72页。INVESTMENTS|BODIE,KANE,MARCUSOverview of InvestigationA multifactor capital market usually is postulated.A broad market index(e.g.the S&P 500)represents one of the factors.Well diversified portfolios are often substituted for individual securities.To overcome CAPM testing difficulties:13-3第3页，共72页。INVESTMENTS|BODIE,KANE,MARCUSThe Index Model and the Single-Factor APTExpected Return-Beta RelationshipEstimating the SCL13-4第4页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTests of the CAPMTests of the expected return beta relationship:First Pass RegressionEstimate beta,average risk premiums and nonsystematic riskSecond PassUse estimates from the first pass to see if model is supported by the dataSML slope is“too flat”and intercept is“too high”.13-5第5页，共72页。INVESTMENTS|BODIE,KANE,MARCUSSingle Factor Test ResultsReturn%BetaCAPMEstimated SML13-6第6页，共72页。INVESTMENTS|BODIE,KANE,MARCUSRolls CriticismThe only testable hypothesis is whether the market portfolio is mean-variance efficient.Sample betas conform to the SML relationship because all samples contain an infinite number of ex post mean-variance efficient portfolios.CAPM is not testable unless we know the exact composition of the true market portfolio and use it in the tests.Benchmark error due to proxy for M13-7第7页，共72页。INVESTMENTS|BODIE,KANE,MARCUSMeasurement Error in BetaProblem:If beta is measured with error,then the slope coefficient of the regression equation will be biased downward and the intercept biased upward.Solution:Replace individual assets with a set of portfolios with small nonsystematic components and widely spaced betas.Fama and MacBeth13-8第8页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 13.1 Summary of Fama and MacBeth13-9第9页，共72页。INVESTMENTS|BODIE,KANE,MARCUSSummary of CAPM Tests1.Expected rates of return are linear and increase with beta,the measure of systematic risk.2.Expected rates of return are not affected by nonsystematic risk.13-10第10页，共72页。INVESTMENTS|BODIE,KANE,MARCUSHuman Capital and Cyclical Variationsin Asset BetasJagannathan and Wang study shows two important deficiencies in tests of the single-index model:1.Many assets are not traded,notably,human capital.A human capital factor may be important in explaining returns.2.Betas are cyclical.13-11第11页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 13.2 Evaluation of Various CAPM Specifications13-12第12页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 13.3 Determinants of Stockholdings13-13第13页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTests of the Multifactor ModelWhich factors or sources of risk should have risk premiums?CAPM and APT do not tell us!13-14第14页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTests of the Multifactor ModelChen,Roll and Ross 1986 StudyFactorsGrowth rate in industrial productionChanges in expected inflationUnexpected inflationUnexpected changes in risk premiums on bondsUnexpected changes in term premium on bonds13-15第15页，共72页。INVESTMENTS|BODIE,KANE,MARCUSStudy Structure&ResultsMethod:Two-stage regression with portfolios constructed by size based on market value of equitySignificant factors:industrial production,risk premium on bonds and unanticipated inflationMarket index returns were not statistically significant in the multifactor model13-16第16页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFama-French Three Factor ModelSize and book-to-market ratios explain returns on securities.Smaller firms experience higher returns.High book to market firms experience higher returns(value style).Returns are explained by size,book to market and by beta.13-17第17页，共72页。INVESTMENTS|BODIE,KANE,MARCUSInterpretation of Three-Factor ModelSize and value are priced risk factors,consistent with APT.Alternatively,premiums could be due to investor irrationality or behavioral biases.13-18第18页，共72页。INVESTMENTS|BODIE,KANE,MARCUSRisk-Based InterpretationsLiew and VassalouStyle seems to predict GDP growth and relate to the business cycle.Petkova and ZhangWhen the economy is expanding,value beta growth beta13-19第19页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 13.1 Difference in Return to Factor Portfolios13-20第20页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 13.2 HML Beta in Different Economic States13-21第21页，共72页。INVESTMENTS|BODIE,KANE,MARCUSBehavioral Explanations for Value Premium“Glamour firms”are characterized by recent good performance,high prices,and lower book-to-market ratios.High prices reflect excessive optimism plus overreaction and extrapolation of good news.Chan,Karceski and Lakonishok LaPorta,Lakonishok,Shleifer and Vishny13-22第22页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 13.3 The Book-to-Market Ratio13-23第23页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 13.4 Value minus Glamour Returns Surrounding Earnings Announcements13-24第24页，共72页。INVESTMENTS|BODIE,KANE,MARCUSMomentum:A Fourth FactorThe original Fama-French model augmented with a momentum factor has become a common four-factor model used to evaluate abnormal performance of a stock portfolio.Momentum may be related to liquidity.13-25第25页，共72页。INVESTMENTS|BODIE,KANE,MARCUSLiquidity and Asset PricingLiquidity involves trading costs,ease of sale,necessary price concessions to effect a quick transaction,market depth,price predictability.13-26第26页，共72页。INVESTMENTS|BODIE,KANE,MARCUSLiquidity and Asset PricingPstor and Stambaugh studied price reversals.Conclusion:Liquidity risk is a priced factor.Price reversals may occur when traders have to offer higher purchase prices or accept lower selling prices to complete their trades in a timely manner.13-27第27页，共72页。INVESTMENTS|BODIE,KANE,MARCUSLiquidity and Efficient Market AnomaliesPstor and Stambaugh suggest that the liquidity risk factor may account for the profitability of the momentum strategy.Sadka shows that the liquidity risk premium explains 40-80%of the abnormal returns to the momentum and postearnings announcement drift strategies.13-28第28页，共72页。INVESTMENTS|BODIE,KANE,MARCUSEquity Premium PuzzleThe equity premium puzzle says:historical excess returns are too highand/or our usual estimates of risk aversion are too low.13-29第29页，共72页。INVESTMENTS|BODIE,KANE,MARCUSConsumption Growth and Market Rates of ReturnWhat matters to investors is not their wealth per se,but their lifetime flow of consumption.Measure risk as the covariance of returns with aggregate consumption.13-30第30页，共72页。INVESTMENTS|BODIE,KANE,MARCUSConsumption Growth and Market Rates of ReturnThe lower panel of Table 13.6 shows:a high book-to-market ratio is associated with a higher consumption betalarger firm size is associated with a lower consumption beta.13-31第31页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 13.6 Annual Excess Returns and Consumption Betas13-32第32页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 13.6 Cross-Section of Stock Returns:Fama-French 25 Portfolios,1954-200313-33第33页，共72页。INVESTMENTS|BODIE,KANE,MARCUSExpected versus Realized ReturnsFama and French Found an equity premium only after 1949Capital gains significantly exceeded the dividend growth rate in modern times.Equity premium may be due to unanticipated capital gains.13-34第34页，共72页。INVESTMENTS|BODIE,KANE,MARCUSSurvivorship BiasEstimating risk premiums from the most successful country and ignoring evidence from stock markets that did not survive for the full sample period will impart an upward bias in estimates of expected returns.The high realized equity premium obtained for the United States may not be indicative of required returns.13-35第35页，共72页。INVESTMENTS|BODIE,KANE,MARCUSLiquidity and the Equity Premium PuzzlePart of the equity premium is almost certainly compensation for liquidity risk rather than just the(systematic)volatility of returns.Ergo,the equity premium puzzle may be less of a puzzle than it first appears.13-36第36页，共72页。INVESTMENTS|BODIE,KANE,MARCUSBehavioral Explanations of the Equity Premium PuzzleBarberis and Huang explain the puzzle as an outcome of irrational investor behavior.The premium is the result of narrow framing and loss aversion.Investors ignore low correlation of stocks with other forms of wealthHigher risk premiums result13-37第37页，共72页。INVESTMENTS|BODIE,KANE,MARCUSCopyright 2011 by The McGraw-Hill Companies,Inc.All rights reserved.McGraw-Hill/IrwinCHAPTER 14Bond Prices and Yields第38页，共72页。INVESTMENTS|BODIE,KANE,MARCUSBonds are debt.Issuers are borrowers and holders are creditors.The indenture is the contract between the issuer and the bondholder.The indenture gives the coupon rate,maturity date,and par value.Bond Characteristics13-39第39页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFace or par value is typically$1000;this is the principal repaid at maturity.The coupon rate determines the interest payment.Interest is usually paid semiannually.The coupon rate can be zero.Interest payments are called“coupon payments”.Bond Characteristics13-40第40页，共72页。INVESTMENTS|BODIE,KANE,MARCUSU.S.Treasury BondsBonds and notes may be purchased directly from the Treasury.Denomination can be as small as$100,but$1,000 is more common.Bid price of 100:08 means 100 8/32 or$1002.50Note maturity is 1-10 yearsBond maturity is 10-30 years13-41第41页，共72页。INVESTMENTS|BODIE,KANE,MARCUSCorporate BondsCallable bonds can be repurchased before the maturity date.Convertible bonds can be exchanged for shares of the firms common stock.Puttable bonds give the bondholder the option to retire or extend the bond.Floating rate bonds have an adjustable coupon rate13-42第42页，共72页。INVESTMENTS|BODIE,KANE,MARCUSPreferred StockDividends are paid in perpetuity.Nonpayment of dividends does not mean bankruptcy.Preferred dividends are paid before common.No tax break.EquityFixed income13-43第43页，共72页。INVESTMENTS|BODIE,KANE,MARCUSInnovation in the Bond MarketInverse FloatersAsset-Backed BondsCatastrophe BondsIndexed BondsTreasury Inflation Protected Securities(TIPS).13-44第44页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 14.1 Principal and Interest Payments for a Treasury Inflation Protected Security13-45第45页，共72页。INVESTMENTS|BODIE,KANE,MARCUSPB=Price of the bondCt=interest or coupon paymentsT =number of periods to maturity r =semi-annual discount rate or the semi-annual yield to maturityBond Pricing13-46第46页，共72页。INVESTMENTS|BODIE,KANE,MARCUSPrice of a 30 year,8%coupon bond.Market rate of interest is 10%.Example 14.2:Bond Pricing13-47第47页，共72页。INVESTMENTS|BODIE,KANE,MARCUSPrices and yields(required rates of return)have an inverse relationshipThe bond price curve(Figure 14.3)is convex.The longer the maturity,the more sensitive the bonds price to changes in market interest rates.Bond Prices and Yields13-48第48页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.3 The Inverse Relationship Between Bond Prices and Yields13-49第49页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 14.2 Bond Prices at Different Interest Rates13-50第50页，共72页。INVESTMENTS|BODIE,KANE,MARCUSYield to MaturityInterest rate that makes the present value of the bonds payments equal to its price is the YTM.Solve the bond formula for r13-51第51页，共72页。INVESTMENTS|BODIE,KANE,MARCUSYield to Maturity ExampleSuppose an 8%coupon,30 year bond is selling for$1276.76.What is its average rate of return?r=3%per half yearBond equivalent yield=6%EAR=(1.03)2)-1=6.09%13-52第52页，共72页。INVESTMENTS|BODIE,KANE,MARCUSYTM vs.Current YieldYTMThe YTM is the bonds internal rate of return.YTM is the interest rate that makes the present value of a bonds payments equal to its price.YTM assumes that all bond coupons can be reinvested at the YTM rate.Current YieldThe current yield is the bonds annual coupon payment divided by the bond price.For bonds selling at a premium,coupon rate current yieldYTM.For discount bonds,relationships are reversed.13-53第53页，共72页。INVESTMENTS|BODIE,KANE,MARCUSYield to CallIf interest rates fall,price of straight bond can rise considerably.The price of the callable bond is flat over a range of low interest rates because the risk of repurchase or call is high.When interest rates are high,the risk of call is negligible and the values of the straight and the callable bond converge.13-54第54页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.4 Bond Prices:Callable and Straight Debt13-55第55页，共72页。INVESTMENTS|BODIE,KANE,MARCUSRealized Yield versus YTMReinvestment AssumptionsHolding Period ReturnChanges in rates affect returnsReinvestment of coupon paymentsChange in price of the bond13-56第56页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.5 Growth of Invested Funds13-57第57页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.6 Prices over Time of 30-Year Maturity,6.5%Coupon Bonds13-58第58页，共72页。INVESTMENTS|BODIE,KANE,MARCUSYTM vs.HPRYTMYTM is the average return if the bond is held to maturity.YTM depends on coupon rate,maturity,and par value.All of these are readily observable.HPRHPR is the rate of return over a particular investment period.HPR depends on the bonds price at the end of the holding period,an unknown future value.HPR can only be forecasted.13-59第59页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.7 The Price of a 30-Year Zero-Coupon Bond over Time13-60第60页，共72页。INVESTMENTS|BODIE,KANE,MARCUSRating companies:Moodys Investor Service,Standard&Poors,FitchRating CategoriesHighest rating is AAA or AaaInvestment grade bonds are rated BBB or Baa and aboveSpeculative grade/junk bonds have ratings below BBB or Baa.Default Risk and Bond Pricing13-61第61页，共72页。INVESTMENTS|BODIE,KANE,MARCUSCoverage ratiosLeverage ratiosLiquidity ratiosProfitability ratiosCash flow to debtFactors Used by Rating Companies13-62第62页，共72页。INVESTMENTS|BODIE,KANE,MARCUSTable 14.3 Financial Ratios and Default Risk by Rating Class,Long-Term Debt13-63第63页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.9 Discriminant Analysis13-64第64页，共72页。INVESTMENTS|BODIE,KANE,MARCUSSinking funds a way to call bonds earlySubordination of future debt restrict additional borrowingDividend restrictions force firm to retain assets rather than paying them out to shareholdersCollateral a particular asset bondholders receive if the firm defaultsProtection Against Default13-65第65页，共72页。INVESTMENTS|BODIE,KANE,MARCUSDefault Risk and YieldThe risk structure of interest rates refers to the pattern of default premiums.There is a difference between the yield based on expected cash flows and yield based on promised cash flows.The difference between the expected YTM and the promised YTM is the default risk premium.13-66第66页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.11 Yield Spreads 13-67第67页，共72页。INVESTMENTS|BODIE,KANE,MARCUSCredit Default SwapsA credit default swap(CDS)acts like an insurance policy on the default risk of a corporate bond or loan.CDS buyer pays annual premiums.CDS issuer agrees to buy the bond in a default or pay the difference between par and market values to the CDS buyer.13-68第68页，共72页。INVESTMENTS|BODIE,KANE,MARCUSCredit Default SwapsInstitutional bondholders,e.g.banks,used CDS to enhance creditworthiness of their loan portfolios,to manufacture AAA debt.CDS can also be used to speculate that bond prices will fall.This means there can be more CDS outstanding than there are bonds to insure!13-69第69页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.12 Prices of Credit Default Swaps13-70第70页，共72页。INVESTMENTS|BODIE,KANE,MARCUSCredit Risk and Collateralized Debt Obligations(CDOs)Major mechanism to reallocate credit risk in the fixed-income marketsStructured Investment Vehicle(SIV)often used to create the CDOLoans are pooled together and split into tranches with different levels of default risk.Mortgage-backed CDOs were an investment disaster in 200713-71第71页，共72页。INVESTMENTS|BODIE,KANE,MARCUSFigure 14.13 Collateralized Debt Obligations13-72第72页，共72页。