套利定价理论(英文版)(ppt 25页)

套利定价理论(英文版)内容简介:
    A systematic risk is any risk that affects a large number of assets, each to a greater or lesser degree.
    An unsystematic risk is a risk that specifically affects a single asset or small group of assets.
    Unsystematic risk can be diversified away.
    Examples of systematic risk include uncertainty about general economic conditions, such as GNP, interest rates or inflation.
    On the other hand, announcements specific to a company, such as a gold mining company striking gold, are examples of unsystematic risk.
    The beta coefficient, b, tells us the response of the stock’s return to a systematic risk.
    In the CAPM, b measured the responsiveness of a security’s return to a specific risk factor, the return on the market portfolio.

 

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