1、McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-0 11.1 : , , 11.2 : 11.3 11.4 11.5 11.6 11.7 11.8 McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-1 - a a . , . , .McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Co

2、mpanies, Inc. All rights reserved.11-211.1 : , , . . A a :return theofpart unexpected theis return theofpart expected theis whereURURRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-311.1 : , , , : = + . , R . , U. McGraw-Hill/IrwinCopyright 2002 by The McGr

3、aw-Hill Companies, Inc. All rights reserved.11-411.2 : A a , a . a a . . , , . , a , a , .McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-511.2 : ; m ; n ; U , U, a : :risk icunsystemat theis risk systematic theis wherebecomesmmRRURR McGraw-Hill/IrwinCopyrig

4、ht 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-611.3 , b, s a . , b a s a , .)()(2,MMiiRRRCov .McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-711.3 , : , S($,) :risk icunsystemat theis beta rate exchangespot theis beta GDP theis betainfla

5、tion theis FFFRRmRRSGDPISSGDPGDPIIMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-8 : : = -2.30 = 1.50 = 0.50., a “” 1% .FFFRRSSGDPGDPII%1%150. 050. 130. 2SGDPIFFFRRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-9 :

6、 . 3%, 8% , = = = 8% - 3%= 5%150. 050. 130. 2SGDPIFFFRR%150. 050. 1%530. 2SGDPFFRRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-10 : 4%, 1%, = = = 1% - 4%= -3%150. 050. 1%530. 2SGDPFFRR%150. 0%)3(50. 1%530. 2SFRRMcGraw-Hill/IrwinCopyright 2002 by The McGra

7、w-Hill Companies, Inc. All rights reserved.11-11 : , S($,), 10%, , = = = 0% - 10%= -10%150. 0%)3(50. 1%530. 2SFRR%1%)10(50. 0%)3(50. 1%530. 2 RRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-12 : , 8%, %150. 0%)3(50. 1%530. 2SFRR%12%1%)10(50. 0%)3(50. 1%530

8、. 2%8RR%8RMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-1311.4 a . a N a 1 . :iiiiFRRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-14 & FiiiiiFRR , = 0McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies,

9、 Inc. All rights reserved.11-15 & F , = 0FRRiiiMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-16 & F 0 . 1B50. 0C5 . 1AMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-17 :NNiiPRXRXRXRXR2211)()()(22221111NNNNPFRXFRXF

10、RXRNNNNNNPXFXRXXFXRXXFXRXR222222111111iiiiFRRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-18 : a , .NNPRXRXRXR22111. The weighed average of expected returns.FXXXNN)(22112. The weighted average of the betas times the factor.NNXXX22113. The weighted average

11、 of the unsystematic risks.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-19 a : . F.FXXXRXRXRXRNNNNP)(22112211 a , s .McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-2011.5 a .FXXRXRXRNNNNP)(1111FRRPPPNNPRXRXR11 th

12、at RecallNNPXX11 andPRPMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-21 b & , a .FRRPPPMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-22 b & FRABCD)(FPFRRRRMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Compan

13、ies, Inc. All rights reserved.11-2311.6 . - . . .McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-2411.7 . . . . . McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.11-2511.8 Summary and Conclusions The APT assumes that st

14、ock returns are generated according to factor models such as:FFFRRSSGDPGDPIIAs securities are added to the portfolio, the unsystematic risks of the individual securities offset each other. A fully diversified portfolio has no unsystematic risk.The CAPM can be viewed as a special case of the APT.Empirical models try to capture the relations between returns and stock attributes that can be measured directly from the