第10章 单一指数和多因素模型 Single index and multifactor models 10-1
10-1 第10章 单一指数和多因素模型 Single Index and Multifactor Models
单一指数和多因素模型 Single index and multifactor models 10.1单一指数证券市场 10.2CAPM模型与指数模型 10.3指数模型的行业性 104多因素模型 10-2
10-2 单一指数和多因素模型 Single Index and Multifactor Models 10.1 单一指数证券市场 10.2 CAPM模型与指数模型 10.3 指数模型的行业性 10.4 多因素模型
单一指数模型的优势 Advantages of the Single Index Model 假定证券分析人员能详细地分析50种股票,这意味着需要 输入如下这些数据: Suppose your security analysts can thoroughly analyze 50 stocks. This means that your input list will include the following n=50个期望收益的估计( estimates of expected returns) n=50个方差估计( estimates of variances) (n2-n)/2=1225个协方差估计( estimates of covariances 1325个估计值( estimates 10-3
10-3 假定证券分析人员能详细地分析50种股票,这意味着需要 输入如下这些数据： Suppose your security analysts can thoroughly analyze 50 stocks. This means that your input list will include the following: n＝50个期望收益的估计 (estimates of expected returns) n＝50个方差估计 (estimates of variances) (n 2 -n)/2＝1225 个协方差估计 (estimates of covariances) 1325个估计值 (estimates) 单一指数模型的优势 Advantages of the Single Index Model
单一指数模型的优势 Advantages of the Single Index Model ■减少输入数量 Reduces the number of inputs for diversification 简化证券分析 Easier for security analysts to specialize
10-4 减少输入数量 Reduces the number of inputs for diversification. 简化证券分析 Easier for security analysts to specialize. 单一指数模型的优势 Advantages of the Single Index Model
单一指数模型 Single Factor Model 证券的持有期收益: The holding- period return on security iis: r =E(ri+mi +e E(r)是证券持有期期初的期望收益,m;是在证券持有期间非预期 的宏观事件对证券收益的影响,e;是非预期的公司特有事件的影 E(r is the expected return on the security as of the beginning of the holding period, m is the impact of unanticipated macro events on the security's return during the period, and e is the impact of unanticipated firm-specific events 10-5
10-5 证券i的持有期收益： The holding-period return on security i is: ri = E(ri )+mi +ei E(ri )是证券持有期期初的期望收益, mi 是在证券持有期间非预期 的宏观事件对证券收益的影响，ei 是非预期的公司特有事件的影 响。 E(ri ) is the expected return on the security as of the beginning of the holding period, mi is the impact of unanticipated macro events on the security’s return during the period, and ei is the impact of unanticipated firm-specific events. 单一指数模型 Single Factor Model