, . .-.

E-mail: okulov@gsom.pu.ru
1






?
1.
???
2.
!
,
(: . )
2 :
?
?
2

= [ ]
=1

= 1
=1

( ):

= 2 [ ] + [ ] [ ] ,
, =

=1

[ , ]

=1

[ ] [ ]
3



n

n
n

~
~
~
~
~
~

E[ R p ] = wi E[ Ri ]; wi = 1
E[ Ri ] E[ R j ]; D[ Ri ] D[ R j ]

i
i

n
n n
~
~
~
~
2
D[ R p ] = wi D[ Ri ] + wi w j D[ Ri ] D[ R j ] i , j
i

j i

~
D[ Ri ]
~
~
~
~ 1 n n
E[ R p ] E[ Ri ]; D[ R p ]
+ D[ Ri ] 2 i , j
n
n
i j i
~
~
~
~ 1 n n
n E[ R p ] E[ Ri ]; D[ R p ] = D[ Ri ] 2 i , j
n
i j i


1
wi =
n

~
~ 1 n n
: D[ R p ] = D[ Ri ] i , j
n 2 i j i


:
( ) ,
1)
[ ] min
[ ] =

2)

[ ] max

[ ] =

( )


2- :
[ ] = 1 [1 ] + 2 [2 ]

[ ] = (1)2 [1 ] + (2)2 [2 ] + 2 1 2 1,2 [1 ] [2 ])

1 + 2 = 1

( ) :
,

, 1 2
7


2- (A B) :
~
~
~
~
~
D[ R p ] = D[ R A ] w A2 + D[ RB ] wB2 + 2 D[ R A ] D[ RB ] w A wB A, B

-0,5

-1

0
0,5
1
A

1,5

2 -1

-0,5

0
0,5
1
A

1,5

2
8



.
-=0,2
-=0,5
-=0,3
X2A=10
X3A=13

X1A=8
B
X1=7
X2=5
X3=5
[ ] ?

:
?

[ ] ?

[ ] ?

= 0,6; = 0,4

[ ] ?

. - ?

[ ] ?



(
B)

10


:
,
,
.
:
,
.

11


, + = 1
A B (, = 0), :
= 2 + ( )2 [ ] (( )2 + ( )2) [ ],
(0 < ( , ) < 1)
, .

A B (, = +1), :
+ 2 = [ ],
.. , .

A B , 1,2 = 1, :
2
( ),
, .

12


3- :
:
0,05;
0,08;
0,10
:
0,02;
0,025; 0,03
1. (
: < < , = 1)
2. (0 1, = 1 )

13

0,10
0,09
0,08
0,07
0,06
0,05
0,00

1.

0,01

0,01
0,02
0,02
0,03

0,03

0,04

: (
: < 0)

14

2. : (
)
15


- (
)

(, )?
( )?
16


: 10 (
) . A, B, C
.

17

18


(
)

19



( )
1 :
= [ ] + 1
= 2 [ ]
= [ ]
= +

[ ]

, > 1 ?
, < 0 ?

20

Rf

(..)

,

21

CML

???

22


CAPM

K1

K2

Rf

23


CAPM

,

,

,
(
-
), ,
( )
24


CAPM:



, ;


. (

,
);

, , ,

( i-
).
25


CAPM ( )

PV = PA,t =0

~
R
E
[
~ ~
~
m] Rf
P
Cov
E[ PA ]

[
~
~
A ,R m ]
D[ Rm ]
E[ PA ] ( _ _ )
=
=
1+ Rf
1+ Rf

:
~ ,

..

( )
~
E[ Rm ] R f
~
:
D[ Rm ]
26


CAPM ( )
~
~
E[ R A ] = R f + A ( E[ Rm ] R f )

-,
:
~ ~
~
Cov[ R A , Rm ]
[RA ]
= A, m ~
A =
~
D[ Rm ]
[ Rm ]

~
E[ Rm ] R f

27


CAPM:
~
E[ Rm ] R f
~
~ ~
[
E[ PA ]

Cov
P
~
A , Rm ]
D[ Rm ]
~
PV(PA ) =
1+ R f

PV(PA) , :
~ ~
~
~

Cov
P
R
[
,
]
P
PV
P
(

A
m
A
A) ~

Cov
R
,

~
~
m ;
PV ( PA )
PV ( PA )

~
~
~
E[ PA ] PV ( PA )
E[ PA ]
~
[
1
E
R
=

~
~
A]
PV ( PA )
PV ( PA )
~
~
PA PV ( PA ) ~
RA
~
PV ( PA )

~
~
E[ R A ] = R f + A ( E[ Rm ] R f )
:
-,
~ ~
~
Cov[ R A , Rm ]
[RA ]
= A, m ~
A =
~
D[ Rm ]
[ Rm ]
28


- :

29


- :

30

[ R p ] = p [ Rm ]

31


CAPM:


?

32


CAPM ( )

(zero-beta portfolio) ,

33


CAPM
~
~
~
~
E[ R A ] = E[ R z ] + A ( E[ Rm ] E[ R z ])
~ ~
~
Cov[ R A , Rm ]
[RA ]
= A, m ~
A =
~
D[ Rm ]
[ Rm ]

34


(SML)
~
~
E[ R A ] = R f + A ( E[ Rm ] R f )
~
E[ R A ] = 0 + 1 A

-,
?
?
35


CAPM:
~
~
E[ R A ] = R f + A ( E[ Rm ] R f )

(
)
- :
, = + , + ,

( 0, , )

36


(SML)

Rm

Rf
=0

=1

~
E[ R A ] = R f + 1 A

37


(SML)

Rf
-

? ?
38


()

39

40


,
?

41


(Fama-French)
= ,
+,
+,/ [

=
=

, , , , ,/ A

NB: ,

42

= 7%; = 3,6%; [/ ] = 5,2%

43


:
[ ] = ,1 [ 1 ] + ,2 [ 2 ] +

: , = + () , +

2 + + ,

CAPM
DCAMP (SD):
[ ] = + () ( )
?

44

1.
(?)
2.
, -,

3. ,

45

 ()
-
( ):
( = 0)
, = + , + ,
= [, ; , ][, ]

46

 ()
-
,
-? ( )

: - (
)

47

 ()

-
(: )
48

 ()
-
: = [, ; , ][, ]

49

 ()
-
Full
sample

Large
company

Medium
company

Small
company

Daily returns

0,65

1,07

0,49

0,39

Monthly returns

1,01

1,08

1,04

0,88

50

 ()
-
Merrill Lynch Estimation period: 60 months. Returns do not include dividends.
Index: S&P-500. Calculation method: OLS beta () and adjusted OLS beta.
= 2/3 + 1/3

Bloomberg Estimation period: 104 weeks. Index: S&P-500. Other combinations

of estimation period and index are possible. Calculation method: OLS beta and
adjusted OLS beta reported.
Value Line Estimation period: 260 weeks. Index: NYSE Composite Index .
Calculation method: adjusted OLS beta is reported.

51

 ()

? (CAPM )
1. .

.
2.
.

.

. :

().
52

 ()

1. 75% - CAPM ( )
2. 40% -
3. 35% -
4. 15% -

( =
+ )
5.
6.

15% -
7% -

53


, ,
?
: ,0 = 100 ( )
Z1
Z2
Z3

0,2
0,5
0,3
E[]
D[]
[]

-0,05
0,05
0,10
0,045
0,00273
0,052

[ , ] = 0,00355

95
105
115
106
49,0
7,0
= 1,3

= + = 0,0525

-0,05
0,05
0,15
0,06
0,0049
0,07

( = 0,02)

54


, ,
?
: ,0 = 50 ( )
,0 = 50 ( 2%)

0,2
0,5
0,3
E[]
D[]
[]

-0,05
0,05
0,1
0,045
0,00273
0,052

[ , ] = 0,00710

-0,12
0,08
0,28
0,10
0,0196
0,14

44
54
64
55
49,0
7,0

= 2,6

= + = 0,085

( = 0,02)

55


(..
):
1). ( =1)
[ ] = [ ] = 0,0525

2). 50% 50%

:

= + = + =

= 0,085 0,5 + 0,02 0,5 = 0,0525

56

[ ] = + = =

, , , ,

WACC (weighted
average cost of capital)
-
,
:

= +

57

 -1
, ?

1.

(:
10 ).
(
, , ).

2.

Pt. Rt.
It.
Rm,t.
58

 -1
3.

- 5
( 2011 2015., 2010 2014., 2009 2013.
..), Rt Rm,t.
.

4.

.

.

5 .

5.

5 -
, , -
.
59

 -1
Excel ( 4 ).
, ,
; ;

. ( )
.

.
-
-.
Rt Rm,t.


(R-).
60

 -1


5 (
).
NB: ,
,
-
()
.
-
, ;
- -
.
61



1. PV ( NPV
)

=

(1 + )

R
2. CAPM
[] = + ( )
[] R?

62



( ) ?

()

, . (
).
:
.
63

64



?
1. () (operating
beta)
2.
3. ,
4. ()
( !).

.


65



=
= .. ..
= .. + .. +

= ..
+ ..
+

.. = 0

= ..

= (1 + /)
66



T=1

$1,2 .

0,25

$0,3 .

$1,0 .

0,50

$0,5 .

$0,8 .

0,25

$0,2 .

$1 .

= 10%, = $1./1,1 = $0,909 .

,
67

$1,2 .

0,225

$0,27 .

$1,0 .

0,45

$0,45 .

$0,8 .
0 .

0,225
0,10

$0,18 .
$0,0 .

$0,9 .

= 10%, = $0,818 .
($1 .) , = 22,2%?
= $1./1,222 = $0,818 . ?
: 22,2% 10% = 12,2%
68

$1000

$1000

$1000

$1000

PV ( 12%)

$893

$797

$712

$636

$900

$900

$900

$900

PV ( 12%)

$804

$718

$641

$572

PV

10%

10%

10%

10%

PV ( 12+10=22%)

$820

$672

$551

$451

8,2%

15,7%

22,6%

29,0%

PV ( 22%)

!

69



?
(
) PV

:
,

: (
). :

70

1
2
3

A ()

PV 12%
100
89,3
100
79,7
100
71,2
PV =240,2

1
2
3

()

PV 6%
94,6
89,3
89,6
79,7
84,8
71,2
PV =240,2
71

1
2
3

100
100
100

94,6
89,6
84,8

5,4
10,4
15,2

()
,
,
,
,
.
72

PV

73


CAPM
~
[
E
R
~
~ ~
m] Rf
[

E[ X A ]
Cov
X
~
A , Rm ]
D[ Rm ]
~
PV(X A ) =
1+ R f

74


: ?
10% .
R&D,
= 0: 0 = 125 R&D ( 50%)
= 1: 1 = 1000 (. 50%) 0 (. 50%)
= 2, 3, 4, , : = 250 ( , . 50%) 0 (. 50%)
, , = 25%

500
125
= 125
+
= 125
1,25
1,25
=2

75


: ?
= 1000 + 2500,1 = +1500 (.50%)
R&D

( 10% - )

= 0 (.50%)

125 0,5 1500 + 0,5 0 = 750.

?

: 1 = 0,25 750 = 150

1 = 150 ,
1
150
= 125 +
= 125 +
= +22
1 +
1,02

76