外文翻譯---股票期望收益和未期望收益

1、<p><b>　　外文翻譯：</b></p><p>　　Stock:Expected and unexpected return</p><p>　　To begin, for concreteness, we consider the return on the stock of a company called Flyers. What will d

2、etermine this stock’s return in, say, the coming year?</p><p>　　The return on any stock traded in a financial market is composed of two parts. First, the normal, or expected, return from the stock is the par

3、t of the return that shareholders in the market predict or expect. This return depends on the information shareholders have that bears on the stock, and it is based on the market’s understanding today of the important fa

4、ctors that will influence the stock in the coming year.</p><p>　　The second part of the return on the stock is the uncertain, or risky, part. This is the portion that comes from unexpected information reveal

5、ed within the year. A list of all possible sources of such information would be endless, bet here are a few examples:</p><p>　　News about Flyers research</p><p>　　Government figures released on

6、gross domestic product (GDP)</p><p>　　The results from the latest arms control talks</p><p>　　The news that Flyers’s sales figures are higher tan expected</p><p>　　A sudden, unexpec

7、ted drop in interest rates</p><p>　　Based on this discussion, one way to express the return on Flyers stock in the coming year would be:</p><p>　　Total return = expected return + unexpected retu

8、rn</p><p>　　R = E (R) + U</p><p>　　Where R stands for the actual total return in the year, E(R) stands for the expected part of the return, and U stands for the unexpected part of the return. Wh

9、at this says is that the actual return, R, differs from the expected return, E(R), because of surprises that occur during the year. In any given year, the unexpected return will be positive or negative, but, through time

10、, the average value of U will be zero. This simply means that on average, the actual return equals the expected return.</p><p>　　Risk: systematic and unsystematic</p><p>　　The unanticipated part

11、 of the return, that portion resulting from surprises, is the true risk of any investment. After all, if we always receive exactly what we expect, then the investment is perfectly predictable and by definition, risk-free

12、. In other words, the risk of owning an asset comes from surprises-unanticipated events.</p><p>　　There are important differences, though, among various sources of risk. Look back at our previous list of new

13、s stories. Some of these stories are directed specifically at Flyers, and some are more general. Which of the news items are of specific importance to Flyers?</p><p>　　Announcements about interest rates or G

14、DP are clearly important for nearly all companies, whereas the news about Flyers’s president, its research, or its sales is of specific interest to Flyers. We will distinguish between these two types of events, because,

15、as we shall see, they have very different implications.</p><p>　　Systematic and unsystematic risk</p><p>　　The first type of surprise, the one that affects a large number of assets, we will labe

16、l systematic risk. A systematic risk is one that influences a large number of assets, each to a greater of lesser extent. Because systematic risks have marketwide effects, they are sometimes called market risks.</p>

17、;<p>　　The second type of surprise we will call unsystematic risk. An unsystematic risk is one that affects a single asset or a small group of assets. Because these risks are unique to individual companies or asse

18、ts, they are sometimes called unique or asset specific risks. We will use these terms interchangeably.</p><p>　　As we have seen, uncertainties about general economic conditions, such as GDP, interest rates,

19、or inflation, are examples of systematic risks. These conditions affect nearly all companies to some degree. An unanticipated increase, or surprise, in inflation, for example, affects wages and the costs of supplies that

20、 companies buy, it affects the value of the assets that companies own, and it affects the prices at which companies sell their products. Forces such as these, to which all companies are</p><p>　　In contrast,

21、 the announcement of an oil strike by a company will primarily affect that company and, perhaps, a few others (such as primary competitors and suppliers). It is unlikely to have much of an effect on the world oil market,

22、 however, or on the affairs of companies not in the oil business, so this is an unsystematic event.</p><p>　　Systematic and unsystematic components of return</p><p>　　The distinction between a s

23、ystematic risk and an unsystematic risk is never really as exact as we make it out to be. Even the most narrow and peculiar bit of news about a company ripples through the economy. This is true because every enterprise,

24、no matter how tiny, is a part of economy. It’s like the tale of a kingdom that was lost because one horse lost a shoe. This is mostly hairsplitting, however. Some risks are clearly much more general than others. We’ll se

25、e some evidence on this point in </p><p>　　The distinction between the types of risk allows us to break down the surprise portion, U, of the return on the Flyers stock into two parts. Earlier, we had the act

26、ual return broken down into its expected and surprise components:</p><p>　　R = E (R) + U</p><p>　　We now recognize that the total surprise component for Flyers, U, has a systematic and an unsyst

27、ematic component, so:</p><p>　　R = E (R) + systematic portion + unsystematic portion</p><p>　　Systematic risks are often called market risks because they affect most assets in the market to some

28、 degree.</p><p>　　The important thing about the way we have broken down the total surprise, U, is that the unsystematic portion is more or less unique to Flyers. For this reason, it is unrelated to the unsys

29、tematic portion of return on most other assets. To see why this is important, we need to return to the subject of portfolio risk.</p><p>　　Diversification and portfolio risk</p><p>　　We’ve seen

30、earlier that portfolio risks can, in principle, be quite different from the risks of the assets that make up the portfolio. We now look more closely at the riskiness of an individual asset versus the risk of a portfolio

31、of many different assets. We will once again examine some market history to get an idea of what happens with actual investments in U.S capital markets.</p><p>　　The effect of diversification: another lesson

32、from market history</p><p>　　In our previous chapter, we saw that the standard deviation of the annual return on a portfolio of 500 large common stocks has historically been about 20 percent per year. Does t

33、his mean that the standard deviation of the annual return on a typical stock in that group of 500 is about 20 percent? As you might suspect by now, the answer is no. this in an extremely important observation.</p>

34、<p>　　To allow examination of the relationship between portfolio size and portfolio risk, Table11.4 illustrates typical average annual standard deviation for equally weighted portfolio that contain different number

35、s of randomly selected NYSE securities,</p><p>　　In column 2 of table11.4, we see that the standard deviation for a “portfolio” of one security is about 49 percent. What this means is that if you randomly se

36、lected a single NYSE stock and put all your money into it, your standard deviation of return would typically be a substantial 49 percent per year. If you were to randomly select two stocks and invest half your money in e

37、ach, your standard deviation would be about 37 percent on average, and so on.</p><p>　　The important thing to notice in table11.4 is that the standard deviation declines as the number of securities is increa

38、sed. By the time we have 100 randomly chosen stocks, the portfolio’s standard deviation has declined by about 60 percent, from 49 percent to about 20 percent. With 500 securities, the standard deviation is 19.27 percent,

39、 similar to the 20 percent we saw in our previous chapter for the large common stock portfolio. The small difference exists because the portfolio securities and</p><p>　　The principle of diversification</

40、p><p>　　Figure 11.9 illustrates the point we’ve been discussing. What we have plotted is the standard deviation of return versus the number of stocks in the portfolio. Notice in figure 11.9 that the benefit in

41、terms of risk reduction from adding securities drops off as we add more. By the time we have 10 securities, most of the effect is already realized, and by the time we get to 30 or so, there is very little remaining benef

42、it.</p><p>　　Figure11.9 illustrates two key points. First, some of the riskiness associated with individual assets can be eliminated by forming portfolio. The process of spreading an investment across assets

43、(and thereby forming a portfolio) is called diversification. The principle of diversification tells us that spreading an investment across many assets will eliminate some of the risk. The blue shaded area in figure11.9,

44、labeled “diversifiable risk” is the part that can be eliminated by diversification.</p><p>　　The second point is equally important. There is a minimum level of risk that cannot be eliminated simply by divers

45、ifying. This minimum level is labeled “nondiversifiable risk” in figure 11.9. Taken together, these two points are another important lesson from capital market history: diversification reduces risk, but only up to a poin

46、t. Put another way, some risk is diversifiable and some is not.</p><p>　　To give a recent example of the impact of diversification, the Dow Jones Industrial Average (DJIA), which is a widely followed stock m

47、arket index of 30 large, well-known U.S stocks, was up about 25 percent in 2003. As we saw in our previous chapter, this represents a pretty good year for a portfolio of large-cap stocks. The biggest individual gainers f

48、or the year were Intel (up 107 percent), Caterpillar (up 86 percent), and Alcoa (up 71 percent). But not all 30 stocks were up: the losers include</p><p>　　In contrast to 2003, consider 2002 when the DJIA wa

49、s down about 17 percent, a fairly bad year. The big losers in this year were Home Depot (down 52 percent), and Intel (down 50 percent). Working to offset these losses was Eastman Kodak (up 20 percent). Again, the lesson

50、is clear: diversification reduces exposure to extreme outcomes, both good and bad.</p><p>　　Diversification and unsystematic risk</p><p>　　From our discussion of portfolio risk, we know that som

51、e of the risk associated with individual assets can be diversified away and some cannot. We are left with an obvious question: why is this so? It turns out that the answer hingers on the distinction we made earlier betwe

52、en systematic and unsystematic risk.</p><p>　　By definition, an unsystematic risk is one that is particular to a single asset or, at most, a small group. For example, if the asset under consideration is stoc

53、k in a single company, the discovery of positive NPV projects such as successful new products and innovative cost saving will tend to increase the value of the stock. Unanticipated lawsuits, industrial accidents, strikes

54、, and similar events will tend to decrease future cash flows and thereby reduce share value.</p><p>　　Here is the important observation: if we only held a single stock, then the value of our investment would

55、 fluctuate because of company-specific events. If we hold a large portfolio, on the other hand, some of the stocks in the portfolio will go up in value because of positive company-specific events and some will go down in

56、 value because of negative events. The net effect on the overall value of the portfolio will be relatively small, however, because these effects will tend to cancel each other</p><p>　　Now we see why some of

57、 the variability associated with individual assets is eliminated by diversification. When we combine assets into portfolios, the unique, or unsystematic, events-both positive and negative-tend to “wash out” once we have

58、more than just a few assets.</p><p>　　This is an important point that bears repeating:</p><p>　　Unsystematic risk is essentially eliminated by diversification, so a portfolio with many assets ha

59、s almost no unsystematic risk.</p><p>　　In fact, the terms diversifiable risk and unsystematic risk are often used interchangeably.</p><p>　　Diversification and systematic risk</p><p&

60、gt;　　We’ve seen that unsystematic risk can be eliminated by diversifying. What about systematic risk? Can it also be eliminated by diversification? The answer is no because, by definition, a systematic risk affects almos

61、t all assets to some degree. As a result, no matter how many assets we put into a portfolio, the systematic risk does not go away. Thus, for obvious reasons, the terms systematic risk and nondiversifiable risk are used i

62、nterchangeably.</p><p>　　Because we have introduced so many different terms, it is useful to summarize our discussion before moving on. What we have seen is that the total risk of an investment, as measured

63、by the standard deviation of its return, can be written as:</p><p>　　Total risk = systematic risk + unsystematic risk</p><p>　　Systematic risk is also called nondiversifiable risk or market risk

64、. Unsystematic risk is also called diversifiable risk, unique risk, or asset-specific risk. For a well-diversified portfolio, the unsystematic risk is negligible. For such a portfolio, essentially all of the risk is syst

65、ematic.</p><p>　　Definition of the market equilibrium portfolio</p><p>　　Much of our analysis thus far concerns one investor. His estimates of the expected returns and variances for individual s

66、ecurities and the covariances between pairs of securities are his and his alone. Other investors would obviously have different estimates of the above variables. However, the estimates might not vary much because all inv

67、estors would be forming expectations from the same data on past price movements and other publicly available information.</p><p>　　Financial economists often imagine a world where all investors possess the s

68、ame estimates on expected returns, variances and covariances. Though this can never be literally true, it can be thought of as a useful simplifying assumption in a world where investors have access to similar sources of

69、information. This assumption is called homogeneous expectations.</p><p>　　If all investors had homogeneous expectations, figure11.8 would be the same for all individuals. That is, all investors would sketch

70、out the same efficient set of risky assets because they would be working with the same inputs. This efficient set of risky assets if represented by the curve XAY. Because the same risk-free rate would apply to everyone,

71、all investors would view point A as the portfolio of risky assets to be held.</p><p>　　This point A takes on great important because all investors would purchase the risky securities that it represents. Thos

72、e investors with a high degree of risk aversion might combine A with an investment in the riskless asset, achieving point 4, for example. Others with low aversion to risk might borrow to achieve, say, point 5. because th

73、is is a very important conclusion, we restate it:</p><p>　　In a world with homogeneous expectations, all investors would hold the portfolio of risky assets represented by point A.</p><p>　　If al

74、l investors choose he same portfolio of risky assets, it is possible to determine what that portfolio is. Common sense tells us that it is a market value weighted portfolio of all existing securities. It is the market po

75、rtfolio.</p><p>　　In practice, financial economists use a broad-based index such as the standard & poor’s (S&P) 500 as a proxy for the market portfolio. Of course, all investors do not hold the same

76、portfolio. However, we know that a large number of investors hold diversified portfolios, particularly when mutual funds or pension funds are included. A broad-based index is a good proxy for the highly diversified portf

77、olios of many investors.</p><p>　　Definition of risk when investors hold the market portfolio</p><p>　　The previous section states that many investors hold diversified portfolios similar to broa

78、d-based indices. This result allows us to be more precise about the risk of a security in the context of a diversified portfolio.</p><p>　　Researchers have shown that the best measure of the risk of a securi

79、ty in a large portfolio is the beta of the security. </p><p>　　Expected return on market</p><p>　　Financial economists frequently argue that the expected return on the market can be represented

80、as</p><p>　　E(RM) = RF + Risk premium</p><p>　　In words, the expected return on the market is the sum of the risk-free rate plus some compensation for the risk inherent in the market portfolio.

81、Note that equation refers to the expected return on the market, not the actual return in a particular month of year. Because stocks have risk, the actual return on the market over a particular period can, of course, be b

82、elow RF, or can even be negative.</p><p>　　Since investors want compensation for risk, the risk premium is presumably positive. Bet exactly how positive is it? It is generally argued that the place to start

83、looking for the risk premium in the future is the average risk premium in the past. As reported in chapter 10, Ibbotson and Sinquefield found that the average return on large-company common stocks was 12.4 percent over 1

84、926-2004. The average risk-free rate over the same time interval was 3.8 percent. Thus, the average difference betwe</p><p>　　For example, if the risk-free rate, estimated by the current yield on a one-year

85、Treasury bill, is 1 percent, the expected return on the market is:</p><p>　　9.6% = 1% + 8.6%</p><p>　　Of course, the future equity risk premium could be higher or lower than the historical equit

86、y risk premium. This could be true if future risk is higher or lower than past risk or if individual risk aversions are higher or lower than those of the past. </p><p><b>　　譯文： </b></p>&l

87、t;p>　　股票：期望收益和未期望收益</p><p>　　具體起見，我們首先考察公司股票的收益。決定未來年份股票收益的因素是什么？</p><p>　　在金融市場上交易的任何一只股票收益都是由兩部分組成。股票收益的第一部分來自股票的正常收益，也稱為期望收益，它是股票持有人預(yù)測或期望獲得的收益。該收益取決于股票持有人在該股票上鎖擁有的信息。今天，市場對某些重要因素的理解構(gòu)成了信息的基

88、礎(chǔ)，而這些重要因素影響了未來年份股票的收益。</p><p>　　股票收益的第二部分是不確定收益，也稱為風(fēng)險(xiǎn)收益，它來自于當(dāng)年披露但市場未預(yù)期的信息。將這樣的信息來源全部列舉出來將是無窮盡的，這里舉幾個(gè)例子進(jìn)行說明： F公司的研發(fā)信息</p><p>　　政府公布國內(nèi)生產(chǎn)總值</p><p>　　最新軍備控制決判結(jié)果</p><p>

89、　　F公司銷售量高于預(yù)期</p><p><b>　　利率突然下調(diào)</b></p><p>　　根據(jù)上述論述，F(xiàn)公司股票在未來年份的收益可寫成：</p><p>　　R = E (R) + U</p><p>　　其中，R表示一年中實(shí)際的總收益，E(R)表示總收益中的期望部分，U表示總收益中的未期望部分。這里所說的實(shí)際收

90、益與期望收益是有所不同的。因?yàn)樵谶@一年發(fā)生了市場未預(yù)期的信息，即驚奇。在任一給定年份中，未期望收益可能為正，也可能為負(fù)，但全部年份平均下來，其均值將為零。顯然，這表明平均而言，實(shí)際收益等于期望收益。</p><p>　　收益的未期望部分，即由驚奇引起的那部分收益，其實(shí)是任何投資的真正風(fēng)險(xiǎn)?？偠灾?，如果我們獲得的收益一直和我們所預(yù)期的一樣，那么這種投資就不存在不確定性，并且從定義上說它是無風(fēng)險(xiǎn)的。換言之，資產(chǎn)的風(fēng)

91、險(xiǎn)來自于驚奇，即未預(yù)期事件。</p><p>　　雖然有各種各樣的風(fēng)險(xiǎn)來源，但它們之間存在著重要的差別?；仡櫱懊嫖覀兲岬降囊幌盗杏嘘P(guān)信息。其中有些信息與F公司直接有關(guān)，其他的信息則比較一般。那么，哪些信息對于F公司來說特別重要呢？</p><p>　　顯然，公布關(guān)于利率或GDP的信息對幾乎所有的公司都很重要，而關(guān)于F公司總裁的信息，研發(fā)信息，銷售信息，對F公司來說特別重要。我們將區(qū)分上述這

92、兩種不同類型的事件，因?yàn)樵谙挛奈覀儗⒖吹剿鼈兙哂型耆煌暮x。</p><p>　　系統(tǒng)性和非系統(tǒng)性風(fēng)險(xiǎn)</p><p>　　第一種類型的驚奇對絕大多數(shù)的資產(chǎn)產(chǎn)生影響，我們將它稱為系統(tǒng)性風(fēng)險(xiǎn)。系統(tǒng)性風(fēng)險(xiǎn)對大多數(shù)資產(chǎn)產(chǎn)生影響，只不過每種資產(chǎn)受影響的程度有大有小。因?yàn)橄到y(tǒng)性風(fēng)險(xiǎn)對整個(gè)市場都有影響，所以有時(shí)候也被稱為“市場風(fēng)險(xiǎn)”。</p><p>　　第二種類型的驚奇稱

93、為非系統(tǒng)性風(fēng)險(xiǎn)。非系統(tǒng)性風(fēng)險(xiǎn)只對某一種資產(chǎn)或一小類資產(chǎn)產(chǎn)生影響。因?yàn)榉窍到y(tǒng)性風(fēng)險(xiǎn)對個(gè)別公司或資產(chǎn)的影響是獨(dú)一無二的，所以有時(shí)候也被稱為單一風(fēng)險(xiǎn)或特有風(fēng)險(xiǎn)。我們將在下文交替使用這些專業(yè)術(shù)語。</p><p>　　正如我們所看到的，關(guān)于經(jīng)濟(jì)狀況的不確定性，如GDP，利率或通貨膨脹，都是系統(tǒng)性風(fēng)險(xiǎn)的典型例子。這些經(jīng)濟(jì)狀況在某種程度上都將對幾乎所有的公司產(chǎn)生影響。例如，如果通貨膨脹高于預(yù)期水平，這一出乎意料的信息將會影響

94、工資，原材料成本，公司所擁有資產(chǎn)的價(jià)值及公司產(chǎn)品的銷售價(jià)格。這使所有公司對系統(tǒng)風(fēng)險(xiǎn)都保持高度警覺。</p><p>　　相比之下，某石油公司發(fā)生工人罷工事件可能僅僅影響這個(gè)公司或某些公司。它不大可能對整個(gè)石油市場產(chǎn)生很大的影響，也不會對石油行業(yè)以外的公司產(chǎn)生很大的影響，因此這樣的事件是非系統(tǒng)性事件。</p><p>　　收益的系統(tǒng)性和非系統(tǒng)性部分</p><p>　

95、　系統(tǒng)性風(fēng)險(xiǎn)與非系統(tǒng)性風(fēng)險(xiǎn)之間的區(qū)別并不是只限于目前我們所談到的這些。即使是范圍最小和一丁點(diǎn)的信息都可能使經(jīng)濟(jì)產(chǎn)生波動，因?yàn)闊o論一個(gè)公司的規(guī)模有多么小，都是經(jīng)濟(jì)的一個(gè)組成部分。當(dāng)然，這樣說有點(diǎn)吹毛求疵。相對于其他風(fēng)險(xiǎn)，一些風(fēng)險(xiǎn)的影響更直接，涉及的范圍也更廣。</p><p>　　正因?yàn)檫@兩種類型風(fēng)險(xiǎn)存在這種區(qū)別，所以我們可以將F公司總的驚奇收益分為兩個(gè)部分。在前面，我們將實(shí)際收益分為期望收益和驚奇收益兩個(gè)部分：

96、 R = E (R) + U</p><p>　　我們現(xiàn)在知道F公司總的驚奇收益由系統(tǒng)性和非系統(tǒng)性兩部分組成，從而：</p><p>　　R = E (R) + 系統(tǒng)性部分 + 非系統(tǒng)性部分</p><p>　　由于系統(tǒng)性風(fēng)險(xiǎn)在某種程度上對市場上大多數(shù)的資產(chǎn)都產(chǎn)生影響，因此它經(jīng)常被稱為市場風(fēng)險(xiǎn)。</p><p>　　在我們分解總的驚奇收

97、益時(shí)，一個(gè)關(guān)鍵點(diǎn)在于非系統(tǒng)性部分對于F公司而言，或多或少是獨(dú)特的。也就是說，它與其他大多數(shù)資產(chǎn)的非系統(tǒng)性部分是不相關(guān)的。要理解為什么這一點(diǎn)很重要，我們需要回到之前關(guān)于投資組合風(fēng)險(xiǎn)的討論上。</p><p>　　多元化和投資組合風(fēng)險(xiǎn)</p><p>　　在本章的前面部分，我們已經(jīng)知道投資組合的風(fēng)險(xiǎn)在本質(zhì)上與構(gòu)成投資組合的各種證券的風(fēng)險(xiǎn)是完全不同的。我們現(xiàn)在要更詳細(xì)的觀察單個(gè)資產(chǎn)的風(fēng)險(xiǎn)以及由多

98、種不同資產(chǎn)構(gòu)成的組合的風(fēng)險(xiǎn)。我們將再次考察股票市場的歷史數(shù)據(jù)，并通過在美國資本市場的實(shí)際投資來加強(qiáng)對上述問題的理解。</p><p>　　多元化效果：來自資本市場歷史的另一個(gè)啟示</p><p>　　在前面章節(jié)中，我們知道由500只大公司普通股構(gòu)成的組合，其年度收益的標(biāo)準(zhǔn)差從歷史上看平均每年大約為20%。這是否意味著在這個(gè)組合中單只股票年度收益的標(biāo)準(zhǔn)差也大約為20？答案是：不是。你可能會懷

99、疑，但這是一個(gè)非常重要的觀察結(jié)果。</p><p>　　為了考察組合規(guī)模與組合風(fēng)險(xiǎn)二者之間的相關(guān)關(guān)系，表列示了各個(gè)等權(quán)組合年度的平均標(biāo)準(zhǔn)差，這些組合包含了從紐約證券交易所隨機(jī)抽取的不同數(shù)量的股票。</p><p>　　在表欄，我們可以發(fā)現(xiàn)對于由一只股票構(gòu)成的組合，其標(biāo)準(zhǔn)差大約為49%。這意味著：如果你隨機(jī)抽取紐約證券交易所中的某只股票，并將全部資金投資該股票，你所獲得收益的標(biāo)準(zhǔn)差每年平均是