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Bài giảng Tài chính doanh nghiệp: Chương 1 - Rủi ro và tỷ suất lợi nhuận

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Trong chương 1 Rủi ro và tỷ suất lợi nhuận của Tài chính doanh nghiệp trình bày về lợi nhuận các khái niệm cơ bản rủi ro, và rủi ro riêng lẻ, rủi ro thị trường (rủi ro danh mục) và rủi ro và lợi nhuận.

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Nội dung Text: Bài giảng Tài chính doanh nghiệp: Chương 1 - Rủi ro và tỷ suất lợi nhuận

  1. Chương 1 Rủi ro và tỷ suất lợi nhuận 1. Lợi nhuận :các khái niệm cơ bản 2. Rủi ro: các khái niệm cơ bản 3. Rủi ro riêng lẻ 4. Rủi ro thị trường (rủi ro danh mục) 5. Rủi ro và lợi nhuận: CAPM/SML 1-1
  2. Investment returns The rate of return on an investment can be calculated as follows: (Amount received – Amount invested) Return = ________________________ Amount invested For example, if $1,000 is invested and $1,100 is returned after one year, the rate of return for this investment is: ($1,100 - $1,000) / $1,000 = 10%. 1-2
  3. What is investment risk? Two types of investment risk Stand-alone risk Portfolio risk Investment risk is related to the probability of earning a low or negative actual return. The greater the chance of lower than expected or negative returns, the riskier the investment. 1-3
  4. Probability distributions A listing of all possible outcomes, and the probability of each occurrence. Can be shown graphically. Firm X Firm Y Rate of -70 0 15 100 Return (%) Expected Rate of Return 1-4
  5. Selected Realized Returns, 1926 – 2004 Average Standard Return Deviation Small-company stocks 17.5% 33.1% Large-company stocks 12.4 20.3 L-T corporate bonds 6.2 8.6 L-T government bonds 5.8 9.3 U.S. Treasury bills 3.8 3.1 Source: Based on Stocks, Bonds, Bills, and Inflation: (Valuation Edition) 2005 Yearbook (Chicago: Ibbotson Associates, 2005), p28. 1-5
  6. Investment alternatives Economy Prob. T-Bill HT Coll USR MP Recession 0.1 5.5% -27.0% 27.0% 6.0% -17.0% Below avg 0.2 5.5% -7.0% 13.0% -14.0% -3.0% Average 0.4 5.5% 15.0% 0.0% 3.0% 10.0% Above avg 0.2 5.5% 30.0% -11.0% 41.0% 25.0% Boom 0.1 5.5% 45.0% -21.0% 26.0% 38.0% 1-6
  7. Why is the T-bill return independent of the economy? Do T-bills promise a completely risk-free return? T-bills will return the promised 5.5%, regardless of the economy. No, T-bills do not provide a completely risk-free return, as they are still exposed to inflation. Although, very little unexpected inflation is likely to occur over such a short period of time. T-bills are also risky in terms of reinvestment rate risk. T-bills are risk-free in the default sense of the word. 1-7
  8. How do the returns of HT and Coll. behave in relation to the market? HT – Moves with the economy, and has a positive correlation. This is typical. Coll. – Is countercyclical with the economy, and has a negative correlation. This is unusual. 1-8
  9. Calculating the expected return ^ r = expected rate of return ^ N r = ∑ ri Pi i =1 ^ r HT = (-27%) (0.1) + (-7%) (0.2) + (15%) (0.4) + (30%) (0.2) + (45%) (0.1) = 12.4% 1-9
  10. Summary of expected returns Expected return HT 12.4% Market 10.5% USR 9.8% T-bill 5.5% Coll. 1.0% HT has the highest expected return, and appears to be the best investment alternative, but is it really? Have we failed to account for risk? 1-10
  11. Calculating standard deviation σ = Standard deviation σ = Variance = σ2 N σ = ∑ (ri − ˆ)2 Pi i =1 r 1-11
  12. Standard deviation for each investment N ^ σ= ∑ i =1 (ri − r ) 2 Pi 1 (5.5 - 5.5) (0.1) + (5.5 - 5.5) (0.2) 2 2  2   σ T − bills = + (5.5 - 5.5)2 (0.4) + (5.5 - 5.5)2 (0.2)     + (5.5 - 5.5)2 (0.1)  σ T − bills = 0.0% σ Coll = 13.2% σ HT = 20.0% σ USR = 18.8% σ M = 15.2% 1-12
  13. Comparing standard deviations Prob. T - bill USR HT 0 5.5 9.8 12.4 Rate of Return (%) 1-13
  14. Comments on standard deviation as a measure of risk Standard deviation (σi) measures total, or stand-alone, risk. The larger σi is, the lower the probability that actual returns will be closer to expected returns. Larger σi is associated with a wider probability distribution of returns. 1-14
  15. Comparing risk and return Security Expected Risk, σ return, ^ r T-bills 5.5% 0.0% HT 12.4% 20.0% Coll* 1.0% 13.2% USR* 9.8% 18.8% Market 10.5% 15.2% * Seem out of place. 1-15
  16. Coefficient of Variation (CV) A standardized measure of dispersion about the expected value, that shows the risk per unit of return. Standard deviation σ CV = = Expected return ˆ r 1-16
  17. Risk rankings, by coefficient of variation CV T-bill 0.0 HT 1.6 Coll. 13.2 USR 1.9 Market 1.4 Collections has the highest degree of risk per unit of return. HT, despite having the highest standard deviation of returns, has a relatively average CV. 1-17
  18. Illustrating the CV as a measure of relative risk Prob. A B 0 Rate of Return (%) σA = σB , but A is riskier because of a larger probability of losses. In other words, the same amount of risk (as measured by σ) for smaller returns. 1-18
  19. Investor attitude towards risk Risk aversion – assumes investors dislike risk and require higher rates of return to encourage them to hold riskier securities. Risk premium – the difference between the return on a risky asset and a riskless asset, which serves as compensation for investors to hold riskier securities. 1-19
  20. Portfolio construction: Risk and return Assume a two-stock portfolio is created with $50,000 invested in both HT and Collections. A portfolio’s expected return is a weighted average of the returns of the portfolio’s component assets. Standard deviation is a little more tricky and requires that a new probability distribution for the portfolio returns be devised. 1-20
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