第六章因子模型和套利定价 理论(APT)
第六章 因子模型和套利定价 理论（APT）
系统风险与非系统风险 ■单因子模型 ■多因子模型 套利和套利定价
◼ 系统风险与非系统风险 ◼ 单因子模型 ◼ 多因子模型 ◼ 套利和套利定价
1.系统风险与非系统风险 ■经济系统中的某些共同因素影响几乎所 有的公司 ■商业周期、利率、GDP增长率、技术进步 劳动和原材料的成本、通货膨胀率 ■这些变量不可预期的变化将导致整个证券市 场回报率的不可预期变化
1. 系统风险与非系统风险 ◼ 经济系统中的某些共同因素影响几乎所 有的公司 ◼ 商业周期、利率、GDP增长率、技术进步、 劳动和原材料的成本、通货膨胀率 ◼ 这些变量不可预期的变化将导致整个证券市 场回报率的不可预期变化
Therefore the risk of asset returns can be broken down into two sources a small number of common factors which proxy for economic events that affect almost all assets changes in interest rates inflation and productivit These represent systematic risk which cannot be diversified away. a risk component that is unique to the asset new product innovations changes in management, lawsuits labor strikes, etc These are Non-systematic idiosyncratic, or firm-specific risk which typically is diversifiable We call these equations which break down an asset's return into these two components factor models
◼ Therefore, the risk of asset returns can be broken down into two sources: ◼ A small number of common factors which proxy for economic events that affect almost all assets. ◼ changes in interest rates, inflation, and productivity. ◼ These represent Systematic risk, which cannot be diversified away. ◼ A risk component that is unique to the asset. ◼ new product innovations, changes in management, lawsuits, labor strikes, etc. ◼ These are Non-systematic idiosyncratic, or firm-specific risk, which typically is diversifiable. ◼ We call these equations which break down an asset's return into these two components factor models
例子:市玚模型 V=C;+);r+E 这里 F=在给定的时间区间,证券的回报率 r,=在同一时间区间,市场指标的回报 率 On=截矩项 Bn=斜率项 nE,=公司特有风险,满足 Ele =0 Cov(ei, 1=0 Cov[em, r=0
◼ 例子：市场模型 ◼ 这里 ◼ =在给定的时间区间，证券 i 的回报率 ◼ =在同一时间区间，市场指标 I 的回报 率 ◼ =截矩项 ◼ =斜率项 ◼ =公司特有风险，满足 i i I i I I i I r = + r + i r I r iI iIiI E iI = 0 Cov iI ,rI = 0 , = 0 iI jI Cov r