Announcement Expected part Surprise The expected part of any announcement is part of the information the market uses to form the expectation of the return on the stock The surprise is the news that influences the unanticipated return on the stock When we speak of news then we refer to the surprise part of any announcement and not the portion that the market has expected and therefore has already discounted
◼ Announcement = Expected part + Surprise ◼ The expected part of any announcement is part of the information the market uses to form the expectation of the return on the stock. ◼ The surprise is the news that influences the unanticipated return on the stock. ◼ When we speak of news, then, we refer to the surprise part of any announcement and not the portion that the market has expected and therefore has already discounted
The unanticipated part of return ---that portion resulting from surprise---is the true risk of any investment
◼ The unanticipated part of return---that portion resulting from surprise---is the true risk of any investment
R=+U=R+mta ■这里 m由于系统原因导致的回报率的非期望部分 E nE由于非系统原因导致的回报率的非期望部分 ela=0
◼ 这里 ◼ 由于系统原因导致的回报率的非期望部分 ◼ 由于非系统原因导致的回报率的非期望部分 R = R +U = R + m + m Em = 0 E = 0
■定义1:因子模型(或者指标模型)是 种假设证券的回报率只与不同的因子或 者指标的运动有关的经济模型
◼ 定义1：因子模型（或者指标模型）是一 种假设证券的回报率只与不同的因子或 者指标的运动有关的经济模型
口由于在实际中,证券的回报率往往不只 受市场指标变动的影响,所以,在估计 证券的期望回报率、方差以及协方差的 准确度方面,多因子模型比市场模型更 有效
◼ 由于在实际中，证券的回报率往往不只 受市场指标变动的影响，所以，在估计 证券的期望回报率、方差以及协方差的 准确度方面，多因子模型比市场模型更 有效