CHPT06-Mutiple factor model.pdf

文档介绍：Bodie Kane Marcus INVESTMENTS
Fourth Edition
ChapterChapter 66
SingleSingle IndexIndex
andand
MultifactorMultifactor ModelsModels
Irwin/McGraw-Hill 10-1 © The McGraw-panies, Inc., 1999
Bodie Kane Marcus INVESTMENTS
Fourth Edition
AdvantagesAdvantages ofof thethe SingleSingle IndexIndex ModelModel
„ Reduces the number of inputs for
diversification.
„ Portfolio of 50 assets
„ ---50 expected returns; 50 variances;
„ 1225 covariance.
„ ---too difficult a task.
Irwin/McGraw-Hill 10-2 © The McGraw-panies, Inc., 1999
Bodie Kane Marcus INVESTMENTS
Fourth Edition
SingleSingle IndexIndex ModelModel
(ri -rf)= αi + ßi(rm -rf)+ ei
Risk Premium Market Risk Premium
or Index Risk Premium
α
i = the stock’s expected return if the
market’s excess return is zero E(rm -rf)= 0
ßi(rm -rf) = ponent of return due to
movements in the market index
ei = firm ponent, not due to market
movements, E(ei)=0
Irwin/McGraw-Hill 10-3 © The McGraw-panies, Inc., 1999
Bodie Kane Marcus INVESTMENTS
Fourth Edition
RiskRisk PremiumPremium FormatFormat
Let: Ri = (ri -rf) Risk premium
Rm = (rm -rf) format
Ri = αi + ßi(Rm)+ ei
Irwin/McGraw-Hill 10-4 © The McGraw-panies, Inc., 1999
Bodie Kane Marcus INVESTMENTS
Fourth Edition
SecuritySecurity haracteristic LineLine
Excess Returns (i)
SCL
.. .. ..
.. .. .... .. ..
.. .. .... ..
.... .... .. .. .. ..
.. ..
.. .. Excess returns
...... .... .. .. .. .. on market index
.... .. .. ..
.. .. .. .. .. .. .. ..
Ri = α i + ßiRm + ei
Irwin/McGraw-Hill 10-5 © The McGraw-panies, Inc., 1999
Bodie Kane Marcus INVESTMENTS
Fourth Edition
UsingUsing thethe TextText ExampleExample
fromfrom TableTable 1010--11
Excess Excess
GM Ret. Mkt. Ret.
Jan.
Feb. - .93
. . .
. . .
Dec
Mean -.60
Std Dev
Irwin/McGraw-Hill 10-6 © The McGraw-panies, Inc., 1999
Bodie Kane Marcus INVESTMENTS
Fourth Edition
RegressionRegression Resul