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Corporate Financial Management 3e
Emery Finnerty Stowe
Risk and Return: Asset Pricing Models
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Learning Objectives
Explain the importance of asset pricing models.
Demonstrate choice of an investment position on the Capital Market Line (CML).
Understand the Capital Asset Pricing Model (CAPM) and its uses.
Describe the arbitrage pricing model and differentiate it from the CAPM.
Chapter Outline
The Capital Asset Pricing Model (CAPM)
Estimating and Using the CAPM
Multifactor Models
Arbitrage Pricing Theory
International Considerations
Risk and Return and the Principles of Finance
Diversification
Invest in a portfolio of assets to reduce your total risk.
Risk-Return Trade-Off
Invest in the risky market portfolio and the riskless asset to obtain the investment risk level you choose.
Efficient Capital Markets
Estimate a security’s risk and required return from its past realized returns.
Incremental Benefits
The incremental benefits from owning a security are its expected future cash flows.
Risk and Return and the Principles of Finance
Time-Value-of-Money
The value of a security is the present value of its expected future cash flows.
Two-Sided Transactions
Use market prices pute expected returns because a market price does not favor either side of the transaction.
Self-Interested Behavior
Prices are set by the highest bidder.
Two-Sided Transactions
Innovative management or services can create value for capital market participants.
The Capital Asset Pricing Model (CAPM)
Asset pricing models provide a relationship between an asset’s required rate of return and its risk.
The capital asset pricing model (CAPM) is the most popular such model.