---
title: 財務管理Ch10 Some lessons from capital market history
tags: 財務管理,筆記,大學檔案
---
[TOC]
# 10.1 Returns

## 名詞

- Dividends(股利)
- Dollar Returns(總報酬金額)
- Percentage Returns(總投資報酬率)



- 總報酬金額 = 以金額衡量之投資報酬
- $ 報酬 = 股利 + 資本利得
- 資本利得 = 收取的價格 – 支付的價格
- 總投資報酬率 = 以最初投資金額的百分比衡量之投資報酬
- % 報酬 = $ 報酬／$ 投資金額

## Example

- You purchase 100 shares of stock at the beginning of the year at a price of 37 per share.
𝐶𝑜 = 37 × 100 = 3700
- The stock paid a dividend of 1.85 per share.
Dividend income = 1.85 × 100 = 185
- At the end of year, the market price of the stock is 40.33 per share.
Capital gain = (40.33 − 37) × 100 = 333
- At the end of year, the market price of the stock is 34.78 per share.
Capital lose = 34.78 − 37 × 100 = −222
- total dollar return = dividend income + capital gain or loss = 185 + 333 = 518
- total cash if stock is sold = initial investment + total dollar return = 3700 + 518 = 4218

## Example 2

- Suppose a stock begins the year with a price of $25 per share and ends with a price of $35 per share. During the year, it paid a $2 dividend per share. What are its dividend yield, capital gains yield, and total return for the year?


# 10.2 The Historical Record Holding Period Returns

## holding period return(HPR):持有期收益率

- HPR = (1 + R1) × (1 + R2) × …× (1 + Rn) – 1

### Example


## Historical Returns

- 五個主要的financial instruments
- Large-company common stocks 大型公司股票
- Small-company common stocks 小型公司股票
- Long-term corporate bonds 長期公司債
- Long-term U.S. government bonds 長期政府公債
- U.S. Treasury bills 國庫券


- 風險越大，報酬越高
- Average Returns


# 10.3 Average Returns: the first lesson Return Statistics

- 計算方法


## Example



# 10.4 The Variability of Returns: The Second Lesson

## Risk Premiums

- Risk-free rate(無風險利率)
- 無風險投資的報酬率
- 國庫券被視為無風險
- Risk premium(風險溢酬)
- 風險性資產高出無風險利率的超額報酬
- 承擔風險的報酬


### Example

- Recall that the average excess return on smallcompany common stocks for the period 1926 through 2017 was 13.1%.
- Given a risk-free rate of 2%, we have an expected return on the market of small-company stocks of 15.1% = 13.1% + 2%

## Return Statistics


### Example

- Suppose the returns on common stock are 0.1370, 0.3580, 0.4514, and -0.0888, respectively. Verify for yourself that the average return is 0.2144. The variance of this sample is computed as follows:


### Example2

- Using data from Table 10.1 for large-company stocks:


# 10.5 More on Average Returns

## Normal Distribution

- A large enough sample drawn from a normal distribution looks like a bell-shaped curve.


## Skewness:偏態(補充)

- 右偏：右側的尾部更長，分布的主體集中在左側
- 左偏：左側的尾部更長，分布的主體集中在右側


## Kurtosis:峰態(補充)

- 高狹峰 leptokurtic >3
- 低闊峰 platykurtic


## Risk-年化標準差(補充)

- 風險的衡量:波動程度，波動越大，風險越高
- 波動程度:計算標的年化報酬標準差


# 10.6 Capital Market Efficiency

- The Efficient Market Hypothesis(效率市場假說)
- Stock prices are in equilibrium. (股價處於均衡狀態)
- Stocks are “fairly” priced.
- Informational efficiency
- not be able to earn “abnormal” or “excess” returns

## Reaction of Stock Price to New Information in Efficient and Inefficient Markets


## Forms of Market Efficiency

- Strong Form Efficient Market(強式效率市場)
- Information = public or private.
- 股票價格已經完全反映所有證券市長的歷史資訊、現在公開資訊與未公開資訊
- “Inside information” is of little use.
- Semistrong Form Efficient Market:
- Information = publicly available information.
- 股票價格已經完全反映所有證券市場的歷史資訊與現在公開的資訊
- Fundamental analysis is of little use.
- Weak Form Efficient Market:
- Information = past prices and volume data.
- 股票價格已經完全反映所有證券市場的歷史資訊
- Technical analysis is of little use.

## Efficient Market Hypotheses(EMH)


## Common Misconceptions about EMH

- EMH does not mean that you can’t make money.
- EMH does mean that
- On average, you will earn a return appropriate for the risk undertaken.(平均而言，你將賺得與所承擔風險相當的報酬)
- There is no bias in prices that can be exploited to earn excess returns.(不能經由定價錯誤而賺到超額的報酬)
- Market efficiency will not protect you from wrong choices if you do not diversify—you still don’t want to put all your eggs in one basket.(如果你不是多樣化投資，市場的效率性也無法保證你都作出正確的選擇。也就是說，你仍舊不能把所有的雞蛋都放在同一個籃子裡)