1、(ri - rf) = i + i(rm - rf) + eia aRisk PremMarket Risk Prem or Index Risk Premi 市场超额收益市场超额收益(rm - rf) = 0时的股票预期收益率时的股票预期收益率i(rm - rf) =随整个市场运动的收益成分随整个市场运动的收益成分ei =不受市场影响的公司特有事件不受市场影响的公司特有事件a aLet: Ri = (ri - rf) Rm = (rm - rf)Risk premiumformat就有就有：Ri = a ai + i(Rm) + eiExcess Returns (i)SCL. . . .E
2、xcess returnson market indexRi = a a i + iRm + ei. .截距-2.59%斜率1.1357Jan.Feb.Dec中值中值标准差标准差5.41-3.44.2.43-.604.977.24.93.3.901.753.32市场超额收益市场超额收益GM的超额收益的超额收益估计系数估计系数估计的标准差估计的标准差特有事件特有事件残差项残差项的方差的方差 = 12.60%残差项的标准差残差项的标准差 = 3.55%R-SQR = 0.575 证券特征线证券特征线 Security Characteristic Line-2.590(1.547)1.1357(0
3、.309)rGM - rf = + (rm - rf)a aa a)(1112222111PMPNiPPNiPPNiPPPPPPeeNeNNeRpaaaNumber of SecuritiesSt. DeviationMarket RiskUnique Risk 2(eP)= 2(e) / n P2 M2E. Ret.St.Dev.* P* DShort 3 shares of D and buy 1 of A, B & C to form P.You earn a higher rate on the investment than you pay on the short sale.FE(r)%PortfolioFE(r)%Individual SecurityE(r)%Beta for F1076Risk Free 4ADC.51.0E(r)%Beta (Market Index)Risk Free M1.0E(rM) - rfMarket Risk Premium APT with Market Index Portfolio
