中级财务管理-CAPM.ppt

单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,*,期权定价与资本资产定价,张志强,zhqzh66,研究的出发点与有效性,实证研究：,从样本数据出发，运用统计逻辑，得出结论；,揭示出现象之间的统计关系，这种关系对特定时间、地点、条件下的样本数据有效。,理论研究：,从基本概念和公理出发，综合运用专业逻辑和统计、数学等方法，得出结论；,揭示出事物的本质关系，这种关系可以跨越时空，有广泛和长久的有效性。,实证研究是定量研究吗？,定量的过程,定性或不确定的结论,我的砖头,ZZ增长悖论太阳围绕地球转还是地球围绕太阳转？,价值评估,市盈率方法ZZ市盈率模型,市净率方法ZZ市净率模型,市销率方法ZZ市销率模型,资本市场有效性悖论,确定当量与资本资产定价,确定当量ZZ确定当量模型,约当系数ZZ约当系数模型,风险当量ZZ风险当量模型,风险系数ZZ风险系数模型,ZZ风险补偿模型,ZZ资本资产定价模型,最优资本结构,债务担保的价值,ZZ杠杆模型,ZZ近似杠杆模型,最优资本结构的敏感性,典型情况下的最优资本结构决策,效用与确定当量,基本概念及关系约定,定义：,预测值=期望值,期望值-确定当量=风险当量,符号：,X代表期望值，,d代表约当系数，则,确定当量为Xd，并且：,风险当量=X-Xd,确定当量=Xd=X-风险当量,风险当量=担保价值=卖方期权价值,卖方期权价值,P=Xe,-rT,N(d2)SN(d1),=Xe,-rn,N(d2)Xe,-rn,N(d1),=Xe,-rn,N(d2)N(d1),ZZ风险当量模型,ZZ确定当量模型,确定当量=X-风险当量,ZZ约当系数模型,ZZ风险补偿与ZZ CAPM,确定当量即为无风险的价值，或者说是按照风险的大小“折现”后的价值。,令计算确定当量的约当系数为相应年份的“现值”系数，即“折扣”系数；为简化公式，用连续复利考虑“折扣”；以c表示“年风险折扣率”，则有：,Sharpe CAPM与ZZ CAPM,Sharpe CAPM：,k,i,=r+,i,(r,m,-r),ZZ CAPM：k=r-ln2-2N(,n/4,)/n,Sharpe假定充分的风险分散，因此只考虑系统风险，或一个证券/项目对总风险的贡献，,i,理论上可以为负，从而贴现率,k,i,可以小于无风险利率。更适合证券投资中应用。,ZZ不考虑证券/项目之间的风险分散，考虑全部风险，但同时考虑风险在各期中的相互抵消作用，,不能为负，因此,贴现率,k肯定高于无风险利率。更适合实业投资中应用。,应用领域,价值评估是财务科学的核心功能；风险收益关系是价值评估中的核心关系。由此可见各种形式的确定当量、约当系数模型以及CAPM在财务科学中的地位与作用。,具体而言，除了加强和巩固价值计量和财务科学的根基，可以应用于资本成本（风险调整的贴现率）、投资评估（NPV计算）的确定以及风险（保险和担保等）的评估。,应用举例,G项目初始投资为200万元。投资当年就可投产获利。预计寿命周期10年内的净现金流量情况如表1所示。已知资本市场上10年期资金的年无风险利率为5%。,G项目现金流量预测（期望值）,年份,0,1,2,3,4,5,6,7,8,9,10,现金流量,-200,10,30,50,70,90,90,70,50,30,10,G项目净现值计算,G项目预测现金流量的确定当量（波动率取25%）,年份,0,1,2,3,4,5,6,7,8,9,10,现金流量,-200,10,30,50,70,90,90,70,50,30,10,约当系数,1.00,0.90,0.86,0.83,0.80,0.78,0.76,0.74,0.72,0.71,0.69,确定当量,-200,9.01,25.79,41.43,56.18,70.19,68.35,51.86,36.18,21.23,6.93,G项目净现值计算,G项目预测现金流量的确定当量（波动率取15%）,年份,0,1,2,3,4,5,6,7,8,9,10,现金流量,-200,10,30,50,70,90,90,70,50,30,10,约当系数,1.00,0.94,0.92,0.90,0.88,0.87,0.85,0.84,0.83,0.82,0.81,确定当量,-200,9.40,27.47,44.83,61.65,78.01,76.88,58.99,41.60,24.66,8.13,G项目风险价值,G项目预测现金流量的风险当量（波动率取25%）,年份,0,1,2,3,4,5,6,7,8,9,10,现金流量,-200,10,30,50,70,90,90,70,50,30,10,风险系数,0.00,0.10,0.14,0.17,0.20,0.22,0.24,0.26,0.28,0.29,0.31,风险当量,0.00,0.99,4.21,8.57,13.82,19.81,21.65,18.14,13.82,8.77,3.07,G项目风险价值,G项目预测现金流量的风险当量（波动率取15%）,年份,0,1,2,3,4,5,6,7,8,9,10,现金流量,-200,10,30,50,70,90,90,70,50,30,10,风险系数,0.00,0.06,0.08,0.10,0.12,0.13,0.15,0.16,0.17,0.18,0.19,风险当量,0.00,0.60,2.53,5.17,8.35,11.99,13.12,11.01,8.40,5.34,1.87,根据ZZ CAPM估算贴现率,风险调整的贴现率k的估算（波动率取25%）,年份,1,2,3,4,5,6,7,8,9,10,c,0.105,0.076,0.063,0.055,0.050,0.046,0.043,0.040,0.038,0.037,d,0.901,0.860,0.829,0.803,0.780,0.759,0.741,0.724,0.708,0.693,k,0.155,0.126,0.113,0.105,0.100,0.096,0.093,0.090,0.088,0.087,e,-kn,0.857,0.778,0.713,0.657,0.607,0.563,0.522,0.485,0.451,0.420,注：表中e,-kn,是考虑风险和货币时间价值的现值系数，e,-kn,=e,-(r+c)n,=e,-rn,e,-cn,=de,-rn,。,按无风险利率对确定当量折现和按照风险调整的贴现率对预测值折现的一致性,年份,0,1,2,3,4,5,6,7,8,9,10,现金流量,-200,10,30,50,70,90,90,70,50,30,10,k,0.155,0.126,0.113,0.105,0.100,0.096,0.093,0.090,0.088,0.087,e,-kn,1,0.857,0.778,0.713,0.657,0.607,0.563,0.522,0.485,0.451,0.420,折现值I,-200,8.57,23.34,35.66,46.00,54.66,50.64,36.55,24.25,13.54,4.20,确定当量,-200,2.82,25.79,41.43,56.18,70.19,68.35,51.86,36.18,21.23,6.93,e,-rn,1,0.951,0.905,0.861,0.819,0.779,0.741,0.705,0.670,0.638,0.607,折现值II,-200,8.57,23.34,35.66,46.00,54.66,50.64,36.55,24.25,13.54,4.20,在上表中，折现值I和折现值II完全相同，但计算方法不同。折现值I是根据预测的现金流量（第二行）与风险调整的贴现率计算出来的，即：现金流量,e,-kn,。而折现值II是根据确定当量（第六行）与无风险利率计算出来的，即：确定当量,e,-rn,。由此证明确定当量或约当系数计算方法与按照风险调整贴现率方法是一致的。,