现代企业财务会计--套利定价理论(ppt 25页)（英文版）
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现代企业财务会计--套利定价理论目录：
1、Factor Models: Announcements, Surprises, and Expected Returns
2、Risk: Systematic and Unsystematic
3、Systematic Risk and Betas
4、Portfolios and Factor Models
5、Betas and Expected Returns
6、The Capital Asset Pricing Model and the Arbitrage Pricing Theory
7、Parametric Approaches to Asset Pricing
8、Summary and Conclusions
现代企业财务会计--套利定价理论内容提要：
Arbitrage Pricing Theory
Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit.
Since no investment is required, an investor can create large positions to secure large levels of profit.
In efficient markets, profitable arbitrage opportunities will quickly disappear.
Factor Models: Announcements, Surprises, and Expected Returns
The return on any security consists of two parts.
First the expected returns
Second is the unexpected or risky returns.
A way to write the return on a stock in the coming month is:
Factor Models: Announcements, Surprises, and Expected Returns
Any announcement can be broken down into two parts, the anticipated or expected part and the surprise or innovation:
Announcement = Expected part + Surprise.
The expected part of any announcement is part of the information the market uses to form the expectation, R of the return on the stock.
The surprise is the news that influences the unanticipated return on the stock, U.
Risk: Systematic and Unsystematic
A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree.
An unsystematic risk is a risk that specifically affects a single asset or small group of assets.
Unsystematic risk can be diversified away.
Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates or inflation.
On the other hand, announcements specific to a company, such as a gold mining company striking gold, are examples of unsystematic risk.
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