Презентация Factor Models: Announcements, Surprises, and Expected Returns онлайн
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Слайды и текст к этой презентации:
№1 слайд
Содержание слайда: 11.1 Factor Models: Announcements, Surprises, and Expected Returns
11.1 Factor Models: Announcements, Surprises, and Expected Returns
11.2 Risk: Systematic and Unsystematic
11.3 Systematic Risk and Betas
11.4 Portfolios and Factor Models
11.5 Betas and Expected Returns
11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory
11.7 Parametric Approaches to Asset Pricing
11.8 Summary and Conclusions
№2 слайд
Содержание слайда: 11.1 Factor Models: Announcements, Surprises, and Expected Returns
The return on any security consists of two parts.
1) the expected or normal return: the return that shareholders in the market predict or expect
2) the unexpected or risky return: the portion that comes from information that will be revealed .
Examples of relevant information:
Statistics Canada figures (e.g., GNP)
A sudden drop in interest rates
News that the company’s sales figures are higher than expected
№3 слайд
Содержание слайда: 11.1 Factor Models: Announcements, Surprises, and Expected Returns
A way to write the return on a stock in the coming month is:
№4 слайд
Содержание слайда: 11.1 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.
№5 слайд
Содержание слайда: 11.2 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.
№6 слайд
Содержание слайда: 11.2 Risk: Systematic and Unsystematic
№7 слайд
Содержание слайда: 11.2 Risk: Systematic and Unsystematic
Systematic risk is referred to as market risk.
m influences all assets in the market to some extent.
Is specific to the company and unrelated to the specific risk of most other companies.
№8 слайд
Содержание слайда: 11.3 Systematic Risk and Betas
The beta coefficient, b, tells us the response of the stock’s return to a systematic risk.
In the CAPM, b measured the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio.
№9 слайд
Содержание слайда: 11.3 Systematic Risk and Betas
For example, suppose we have identified three systematic risks on which we want to focus:
Inflation
GDP growth
The dollar-pound spot exchange rate, S($,£)
Our model is:
№10 слайд
Содержание слайда: Systematic Risk and Betas: Example
Suppose we have made the following estimates:
bI = -2.30
bGDP = 1.50
bS = 0.50.
Finally, the firm was able to attract a “superstar” CEO and this unanticipated development contributes 1% to the return.
№11 слайд
Содержание слайда: Systematic Risk and Betas: Example
We must decide what surprises took place in the systematic factors.
If it was the case that the inflation rate was expected to be 3%, but in fact was 8% during the time period, then
FI = Surprise in the inflation rate
= actual – expected
= 8% - 3%
= 5%
№12 слайд
Содержание слайда: Systematic Risk and Betas: Example
If it was the case that the rate of GDP growth was expected to be 4%, but in fact was 1%, then
FGDP = Surprise in the rate of GDP growth
= actual – expected
= 1% - 4%
= -3%
№13 слайд
Содержание слайда: Systematic Risk and Betas: Example
If it was the case that dollar-pound spot exchange rate, S($,£), was expected to increase by 10%, but in fact remained stable during the time period, then
FS = Surprise in the exchange rate
= actual – expected
= 0% - 10%
= -10%
№14 слайд
Содержание слайда: Systematic Risk and Betas: Example
Finally, if it was the case that the expected return on the stock was 8%, then
№15 слайд
Содержание слайда: 11.4 Portfolios and Factor Models
Now let us consider what happens to portfolios of stocks when each of the stocks follows a one-factor model.
We will create portfolios from a list of N stocks and will capture the systematic risk with a 1-factor model.
The ith stock in the list have returns:
№16 слайд
Содержание слайда: Relationship Between the Return on the Common Factor & Excess Return
№17 слайд
Содержание слайда: Relationship Between the Return on the Common Factor & Excess Return
№18 слайд
Содержание слайда: Relationship Between the Return on the Common Factor & Excess Return
№19 слайд
Содержание слайда: Portfolios and Diversification
We know that the portfolio return is the weighted average of the returns on the individual assets in the portfolio:
№20 слайд
Содержание слайда: Portfolios and Diversification
The return on any portfolio is determined by three sets of parameters:
№21 слайд
Содержание слайда: Portfolios and Diversification
So the return on a diversified portfolio is determined by two sets of parameters:
The weighed average of expected returns.
The weighted average of the betas times the factor F.
№22 слайд
Содержание слайда: 11.5 Betas and Expected Returns
The return on a diversified portfolio is the sum of the expected return plus the sensitivity of the portfolio to the factor.
№23 слайд
Содержание слайда: Relationship Between b & Expected Return
The relevant risk in large and well-diversified portfolios is all systematic, because unsystematic risk is diversified away.
If shareholders are ignoring unsystematic risk, only the systematic risk of a stock can be related to its expected return.
№24 слайд
Содержание слайда: Relationship Between b & Expected Return
№25 слайд
Содержание слайда: 11.6 The Capital Asset Pricing Model and the Arbitrage Pricing Theory
APT applies to well diversified portfolios and not necessarily to individual stocks.
With APT it is possible for some individual stocks to be mispriced---not lie on the SML.
APT is more general in that it gets to an expected return and beta relationship without the assumption of the market portfolio.
APT can be extended to multifactor models.
№26 слайд
Содержание слайда: Multi-factor APT
№27 слайд
Содержание слайда: 11.7 Empirical Approaches to Asset Pricing
Both the CAPM and APT are risk-based models. There are alternatives.
Empirical methods are based less on theory and more on looking for some regularities in the historical record.
Be aware that correlation does not imply causality.
Related to empirical methods is the practice of classifying portfolios by style e.g.,
Value portfolio
Growth portfolio
№28 слайд
Содержание слайда: 11.8 Summary and Conclusions
The APT assumes that stock returns are generated according to factor models such as:
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