第9章 资本资产定价模型 The Capital Asset pricing model
9-1 第9章 资本资产定价模型 The Capital Asset Pricing Model
资木资产定价模型 Capital Asset Pricing Model(CAPM) 9.1股票的需求与均衡价格 9.2资本资产定价模型 9.3资本资产定价模型的扩展形式 9.4资本资产定价模型与流动性 9-2
9-2 9.1 股票的需求与均衡价格 9.2 资本资产定价模型 9.3 资本资产定价模型的扩展形式 9.4 资本资产定价模型与流动性 资本资产定价模型 Capital Asset Pricing Model (CAPM)
股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES The supply and demand for shares determine equilibrium prices and expected rates of return Imagine a simple world with only two corporations: Bottom Up Inc(BU)and Top Down InC (TD). Stock prices and market values are shown in Table 9.1. Investors can also invest in a money market fund(MMF) Which yields a risk-free interest rate of 5% BU TD Price per share $) 39.00 39.00 Shares outstanding 5,000,000 4,000,000 Market value($ millions C 156 9-3
9-3 The supply and demand for shares determine equilibrium prices and expected rates of return. Imagine a simple world with only two corporations: Bottom Up Inc. (BU) and Top Down Inc. (TD). Stock prices and market values are shown in Table 9.1. Investors can also invest in a money market fund (MMF) which yields a risk-free interest rate of 5%. 股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES Sigma Fund is a new actively managed mutual fund that has raised $220 million to invest in the stock market the security analysis staff of Sigma believes that neither Bu nor tD will grow in the future and therefore, that each firm will pay level annual dividends for the foreseeable future. this is a useful simplifying assumption because, if a stock is expected to pay a stream of level dividends the income derived from each share is a perpetuity. Therefore, the present value of each share often called the intrinsic value of the share equals the dividend divided by the appropriate discount rate. A summary of the report of the security analysts appears in Table 9.2
9-4 Sigma Fund is a new actively managed mutual fund that has raised $220 million to invest in the stock market. The security analysis staff of Sigma believes that neither BU nor TD will grow in the future and therefore, that each firm will pay level annual dividends for the foreseeable future. This is a useful simplifying assumption because, if a stock is expected to pay a stream of level dividends, the income derived from each share is a perpetuity. Therefore, the present value of each share often called the intrinsic value of the share equals the dividend divided by the appropriate discount rate. A summary of the report of the security analysts appears in Table 9.2. 股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES
股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES BU TD Expected annual dividend (S/share) 6.40 380 iscount rate=Required return(%) Expected end-of-year price(S/share) Current price 039 Expected return(%): Capital gain 64326 2.56 2.56 Dividend yield 9.74 Total expected retum for the year 7.18 Standard deviation of rate of return 40% Correlation coefficient between rates of return on bu and TD 20 9-5
9-5 股票的需求与均衡价格 DEMAND FOR STOCKS AND EQUILIBRIUM PRICES