文档介绍：Irwin/McGraw-Hill
Chapter 10
Fundamentals of Corporate Finance
Third Edition
Risk, Return, and Capital Budgeting
Brealey Myers Marcus
slides by Matthew Will
Irwin/McGraw-Hill
The McGraw-panies, Inc.,2001
Topics Covered
Measuring Beta
Portfolio Betas
CAPM and Expected Return
Security Market Line
Capital Budgeting and Project Risk
Measuring Market Risk
Market Portfolio - Portfolio of all assets in the economy. In practice a broad stock market index, such as the S&posite, is used to represent the market.
Beta - Sensitivity of a stock’s return to the return on the market portfolio.
Measuring Market Risk
Example - Turbo Charged Seafood has the following % returns on its stock, relative to the listed changes in the % return on the market portfolio. The beta of Turbo Charged Seafood can be derived from this information.
Measuring Market Risk
Example - continued
Measuring Market Risk
When the market was up 1%, Turbo average % change was +%
When the market was down 1%, Turbo average % change was -%
The average change of % (- to ) divided by the 2% (- to ) change in the market produces a beta of .
Example - continued
Portfolio Betas
Diversification decreases variability from unique risk, but not from market risk.
The beta of your portfolio will be an average of the betas of the securities in the portfolio.
If you owned all of the S&posite Index stocks, you would have an average beta of
Measuring Market Risk
Market Risk Premium - Risk premium of market portfolio. Difference between market return and return on risk-free Treasury bills.
Market Portfolio