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1、CHAPTER10ReturnandRiskTheCapitalAssetPricingModel(CAPM)ExpectedreturnsoncommonstockscanvaryquiteaTheseestimatesraisesomeobviousquestions.bit.OneimportantdeterminantistheindustryinwhichaFirst,whydotheseindustryexpectedreturnsdiffersocompanyoperates.Forexample,accordingtorecent
2、es-much,andhowarethesespeci?cnumberscalculated?timatesfromIbbotsonAssociates,themedianexpectedAlso,doesthehigherreturnofferedbyairlinestocksreturnfordepartmentstores,whichincludescompaniesmeanthatinvestorsshouldprefertheseto,say,suchasSearsandKohls,is11.63percent,whereasdepar
3、tmentstorestocks?Aswewillseeinthischapter,computerservicecompaniessuchasMicrosoftandtheNobelPrize–winninganswerstothesequestionsOraclehaveamedianexpectedreturnof15.46percent.formthebasisofourmodernunderstandingofriskandAirtransportationcompaniessuchasDeltaandSouth-return.west
4、haveamedianexpectedreturnthatisevenhigher:17.93percent.10.1IndividualSecuritiesInthe?rstpartofChapter10,wewillexaminethecharacteristicsofindividualsecurities.Inparticular,wewilldiscuss:1.Expectedreturn:Thisisthereturnthatanindividualexpectsastocktoearnoverthenextperiod.Ofcour
5、se,becausethisisonlyanexpectation,theactualreturnmaybeeitherhigherorlower.Anindividual’sexpectationmaysimplybetheaveragereturnperperiodasecurityhasearnedinthepast.Alternatively,itmaybebasedonadetailedanalysisofa?rm’sprospects,onsomecomputer-basedmodel,oronspecial(orinside)inf
6、ormation.2.Varianceandstandarddeviation:Therearemanywaystoassessthevolatilityofasecurity’sreturn.Oneofthemostcommonisvariance,whichisameasureofthesquareddeviationsofasecurity’sreturnfromitsexpectedreturn.Standarddeviationisthesquarerootofthevariance.3.Covarianceandcorrelation
7、:Returnsonindividualsecuritiesarerelatedtooneanother.Covarianceisastatisticmeasuringtheinterrelationshipbetweentwosecurities.Alternatively,thisrelationshipcanberestatedintermsofthecorrelationbetweenthetwosecurities.Covarianceandcorrelationarebuildingblockstoanunderstandingoft
8、hebetacoef?cient.279ros05902_ch10.indd2799/25/0610:28:47AM280PartIII
