Les modèles de risque et de rendement à facteurs multiples

Exposé Comptabilité & finances Finance

Date de publication :

12/04/2008

Langue :

Anglais

Format :

.pdf

Nombre de pages :

8 pages

Niveau :

expert

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1 fois

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Sommaire :

Sommaire

Arbitrage Pricing Theory
The Capital Asset Pricing Model: Expected Return and Risk
Relaxing the Assumptions
Empirical Tests of the CAPM
Relationship Between Systematic Risk and Return
The Market Portfolio : Theory versus Practice
What is Next
Summary

Résumé :

The assumptions of capital market theory expand on those of the Markowitz portfolio model and include consideration of the risk-free rate of return. The correlation and covariance of any asset with a risk-free asset are zero, so that any combination of an asset or portfolio with the risk-free asset generates a linear return and risk function. Therefore, when you combine the risk-free asset with any risky asset on the Markowitz efficient frontier, you derive a set of straight-line portfolio possibilities. The dominant line is the one that is tangent to the efficient frontier. This dominant line is referred to as the capital market line (CML), and all investors should target points along this line depending on their risk preferences. Because all investors want to invest in the risky portfolio at the point of tangency, this portfolio- referred to as the market portfolio-must contain all risky assets in proportion to their relative market values. Moreover, the investment decision and the financing decision can be separated because, although everyone will want to invest in the market portfolio, investors will make different financing decisions about whether to lend or borrow based on their individual risk preferences. Given the CML and the dominance of the market portfolio, the relevant risk measure for an individual risky asset is its covariance with the market portfolio, that is, its systematic risk. When this covariance is standardized by the covariance for the market portfolio, we derive the well-known beta measure of systematic risk and a security market line (SML) that relates the expected or required rate of return for an asset to its beta. Because all individual securities and portfolios should plot on this SML, you can determine the expected (required) return on a security based on its systematic risk (its beta). Alternatively, assuming security markets are not always completely efficient, you can identify undervalued and overvalued securities by comparing your estimate of the rate of return to be earned on an investment to its expected (required) rate of return. The systematic risk variable (beta) for an individual risky asset is computed using a regression model that generates an equation referred to as the asset's characteristic line.