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Catégorie :Category: nCreator TI-Nspire
Auteur Author: SPITZER2001
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 12.08 Ko KB
Mis en ligne Uploaded: 22/11/2024 - 06:05:27
Uploadeur Uploader: SPITZER2001 (Profil)
Téléchargements Downloads: 2
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4334819
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 12.08 Ko KB
Mis en ligne Uploaded: 22/11/2024 - 06:05:27
Uploadeur Uploader: SPITZER2001 (Profil)
Téléchargements Downloads: 2
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4334819
Description
Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
<<
The CAPMs central prediction, namely 55V 5E5S = 5ý5V × [55Z 5E5S ] (55V 5E5S = expected excess return on asset 5V; 5ý5V = market beta; 55Z 5E5S = market risk premium) is not well verified in the data. ¶ Other factors than the market may have explanatory power for differences between expected returns: ¶ Investors may require a premium for being exposed to other systematic risk factors than the market (Fama-French model); ¶ Expected returns may depend on other characteristics (e.g., industry, country...) than the market beta (Barra risk model). ¶ Knowing asset pricing factors helps us construct efficient portfolios. Grouping Stocks Into Portfolios ¶ Most of the asset pricing literature has tested the CAPM on stock portfolios. ¶ Grouping stocks on attributes has a long tradition in empirical asset pricing: ¶ Black, Jensen and Scholes (1972). The Capital Asset Pricing Model: Some Empirical Tests : group stocks on past estimated beta; ¶ Same in Fama and MacBeth (1973). Risk, Return, and Equilibrium: Empirical Tests ; ¶ ... and many papers following Fama and French (1992). The Cross-Section of Expected Stock Returns . Journal of Finance: sort on size and book-to-market ratio. ¶ Principles: ¶ For every stock, collect an attribute known at the portfolio formation date: past beta, market cap, book-to-market ratio, past 12-month return... ¶ Make groups of increasing attribute, e.g. 3, 6 or 10 groups; ¶ Calculate the value-weighted or equally weighted returns within each group; ¶ Hold the stocks until the next portfolio formation date, e.g. 3, 6 or 12 months later. Banz (1981). The relationship between return and market value of common stocks . Journal of Financial Economics. ¶ Stocks are sorted on the market capitalization. ¶ Key finding: stocks of large firms earn lower returns than small stocks after controlling for market exposure. ¶ Arbitrage portfolios are constructed by taking a long position in small or average firms and a short position in large or average firms. ¶ 5[ is the numbers of stocks in each leg (long and short), and stocks are equally weighted within each leg. The market factor is the excess return on the CRSP value-weighted index. ¶ Alphas are significant, which contradicts the CAPM. Fama and French (1992). The Cross-Section of Expected Stock Returns . Journal of Finance. ¶ Universe: stocks from NYSE, AMEX and NASDAQ. Sample period: 07.1963 to 12.1990. ¶ Excerpt of their Table II: ¶ Every year, stocks are sorted into 10 groups on their market capitalization from small (1) to big (10). ¶ The average return decreases from small to big: it is the size effect. ¶ But the beta decreases too. FF92 also subdivide each size group into sub-groups of 5ý. ¶ The beta is estimated from the past 24 to 60 months, as available. ¶ Within every beta group, a size effect remains. ¶ The sort on beta creates less dispersion in returns than the sort on size. ¶ This challenges the CAPM. Value Investing ¶ Value investing has a long tradition in finance: ¶ Benjamin Graham (1894 - 1976): Security Analysis and The Intelligent Investor (the latter co-authored with David Dodd (1895 - 1988)); ¶ Warren Buffet, CEO of Berkshire Hathaway since 1965. ¶ Key idea: buy stocks that are priced below their intrinsic value , which depends on the companys ability to make earnings. ¶ And keep a margin for safety to account for uncertainty in the determination of intrinsic value. ¶ Academic version of this approach: a systematic investment strategy that selects stocks with a low market value relative to some accounting measure. ¶ The most popular valuation ratio in the academic literature is the book-to-market ratio: 55/5@ = Book value of equity /Market value of equity Value Effect ¶ Stocks are now sorted on their book-to-market ratio. ¶ Excerpt of Table IV in FF92: ¶ The average return increases from growth (low B/M) to value (high B/M) stocks: it is the value effect. ¶ The value effect is a puzzle for the CAPM because it is not explained by the market beta. A Long-Short Strategy ¶ On a portfolio formation date, sort stocks into value and growth, and ¶ Purchase $1 of value stocks; ¶ Sell short $1 of growth stocks; ¶ Invest $1 in the risk-free asset (collateral). ¶ The return on this portfolio is 5_5] = 1/1 × 5_value + 1/1 × 5_growth + 1/1 × 5E5S = 5E5S + 5_value 5_growth ¶ Hence the excess return: 5_5] 5E5S = 5_value 5_growth Size and Value Factors ¶ Fama and French (1993). Common Risk Factors in the Returns on Stocks and Bonds . Journal of Financial Economics. ¶ FF93 sort NYSE, AMEX and NASDAQ stocks on market capitalization and book-to-market ratio: ¶ 2 size groups: Small, Big. ¶ 3 book-to-market groups: Low, Medium, High. Definitions The size factor is the excess return of a portfolio of small socks over a portfolio of big stocks: SMB = 5_small 5_big The value factor is the excess return of a portfolio of value stocks over a portfolio of growth stocks: HML = 5_value 5_growth Fama-Frenc
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Compatible OS 3.0 et ultérieurs.
<<
The CAPMs central prediction, namely 55V 5E5S = 5ý5V × [55Z 5E5S ] (55V 5E5S = expected excess return on asset 5V; 5ý5V = market beta; 55Z 5E5S = market risk premium) is not well verified in the data. ¶ Other factors than the market may have explanatory power for differences between expected returns: ¶ Investors may require a premium for being exposed to other systematic risk factors than the market (Fama-French model); ¶ Expected returns may depend on other characteristics (e.g., industry, country...) than the market beta (Barra risk model). ¶ Knowing asset pricing factors helps us construct efficient portfolios. Grouping Stocks Into Portfolios ¶ Most of the asset pricing literature has tested the CAPM on stock portfolios. ¶ Grouping stocks on attributes has a long tradition in empirical asset pricing: ¶ Black, Jensen and Scholes (1972). The Capital Asset Pricing Model: Some Empirical Tests : group stocks on past estimated beta; ¶ Same in Fama and MacBeth (1973). Risk, Return, and Equilibrium: Empirical Tests ; ¶ ... and many papers following Fama and French (1992). The Cross-Section of Expected Stock Returns . Journal of Finance: sort on size and book-to-market ratio. ¶ Principles: ¶ For every stock, collect an attribute known at the portfolio formation date: past beta, market cap, book-to-market ratio, past 12-month return... ¶ Make groups of increasing attribute, e.g. 3, 6 or 10 groups; ¶ Calculate the value-weighted or equally weighted returns within each group; ¶ Hold the stocks until the next portfolio formation date, e.g. 3, 6 or 12 months later. Banz (1981). The relationship between return and market value of common stocks . Journal of Financial Economics. ¶ Stocks are sorted on the market capitalization. ¶ Key finding: stocks of large firms earn lower returns than small stocks after controlling for market exposure. ¶ Arbitrage portfolios are constructed by taking a long position in small or average firms and a short position in large or average firms. ¶ 5[ is the numbers of stocks in each leg (long and short), and stocks are equally weighted within each leg. The market factor is the excess return on the CRSP value-weighted index. ¶ Alphas are significant, which contradicts the CAPM. Fama and French (1992). The Cross-Section of Expected Stock Returns . Journal of Finance. ¶ Universe: stocks from NYSE, AMEX and NASDAQ. Sample period: 07.1963 to 12.1990. ¶ Excerpt of their Table II: ¶ Every year, stocks are sorted into 10 groups on their market capitalization from small (1) to big (10). ¶ The average return decreases from small to big: it is the size effect. ¶ But the beta decreases too. FF92 also subdivide each size group into sub-groups of 5ý. ¶ The beta is estimated from the past 24 to 60 months, as available. ¶ Within every beta group, a size effect remains. ¶ The sort on beta creates less dispersion in returns than the sort on size. ¶ This challenges the CAPM. Value Investing ¶ Value investing has a long tradition in finance: ¶ Benjamin Graham (1894 - 1976): Security Analysis and The Intelligent Investor (the latter co-authored with David Dodd (1895 - 1988)); ¶ Warren Buffet, CEO of Berkshire Hathaway since 1965. ¶ Key idea: buy stocks that are priced below their intrinsic value , which depends on the companys ability to make earnings. ¶ And keep a margin for safety to account for uncertainty in the determination of intrinsic value. ¶ Academic version of this approach: a systematic investment strategy that selects stocks with a low market value relative to some accounting measure. ¶ The most popular valuation ratio in the academic literature is the book-to-market ratio: 55/5@ = Book value of equity /Market value of equity Value Effect ¶ Stocks are now sorted on their book-to-market ratio. ¶ Excerpt of Table IV in FF92: ¶ The average return increases from growth (low B/M) to value (high B/M) stocks: it is the value effect. ¶ The value effect is a puzzle for the CAPM because it is not explained by the market beta. A Long-Short Strategy ¶ On a portfolio formation date, sort stocks into value and growth, and ¶ Purchase $1 of value stocks; ¶ Sell short $1 of growth stocks; ¶ Invest $1 in the risk-free asset (collateral). ¶ The return on this portfolio is 5_5] = 1/1 × 5_value + 1/1 × 5_growth + 1/1 × 5E5S = 5E5S + 5_value 5_growth ¶ Hence the excess return: 5_5] 5E5S = 5_value 5_growth Size and Value Factors ¶ Fama and French (1993). Common Risk Factors in the Returns on Stocks and Bonds . Journal of Financial Economics. ¶ FF93 sort NYSE, AMEX and NASDAQ stocks on market capitalization and book-to-market ratio: ¶ 2 size groups: Small, Big. ¶ 3 book-to-market groups: Low, Medium, High. Definitions The size factor is the excess return of a portfolio of small socks over a portfolio of big stocks: SMB = 5_small 5_big The value factor is the excess return of a portfolio of value stocks over a portfolio of growth stocks: HML = 5_value 5_growth Fama-Frenc
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