首页 | 学习中心 | 注册 登录
返回列表 发帖
dmrktrading

Rank: 2

UID
223361 
帖子
250 
主题
41 
注册时间
2011-7-11 
最后登录
2014-8-4 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-13 13:03 | 只看该作者

market model - expected return

security, expected, similar, getting
getting a little confused on the market model -

I know the formula is a + B(Rm) + e

is the "a' in this case mean to be the Rf rate, similar to the CAPM? Or is it meant to be the security's alpha?
收藏 分享

kkn006

Rank: 2

UID
223404 
帖子
321 
主题
23 
注册时间
2011-7-11 
最后登录
2014-7-31 
2#
发表于 2011-7-13 13:03 | 只看该作者
It is the return on the security that is unrelated to the market. It could be interpreted as nonsystematic risk. It is also the expected return on the security when the return on the market = 0.

TOP

ap0258

Rank: 2

UID
223445 
帖子
322 
主题
15 
注册时间
2011-7-11 
最后登录
2014-8-7 
3#
发表于 2011-7-13 13:03 | 只看该作者
a= avarage return of the asset

TOP

busterbluth

Rank: 2

UID
223413 
帖子
356 
主题
7 
注册时间
2011-7-11 
最后登录
2016-4-19 
4#
发表于 2011-7-13 13:03 | 只看该作者
.



Edited 1 time(s). Last edit at Monday, May 17, 2010 at 10:41AM by marty3.

TOP

Swanand

Rank: 2

UID
223442 
帖子
402 
主题
11 
注册时间
2011-7-11 
最后登录
2016-4-19 
5#
发表于 2011-7-13 13:03 | 只看该作者
That is not true Audrey... If the return on the security can be completey explained by the return on the market then a=0, however the expected return would be equal to the expected return on the market multiplied by its sensitivity to the market...

a is not the rf and it is not the same as the alpha you would get from the sml, and definitely not the average return of the asset

TOP

kingstongal

Rank: 2

UID
223407 
帖子
318 
主题
8 
注册时间
2011-7-11 
最后登录
2014-8-2 
6#
发表于 2011-7-13 13:03 | 只看该作者
was coming back to this today, just want to make sure i got it...

R = a +B(Rm) + e

B(Rm) would be beta x the expected return on the market...this is NOT an equity risk premium (i.e. we don't subtract the RF rate as we do in the CAPM).

a = the component of the security's return that is driven by firm-specific risk.

E is just an error term...

is that about right?

TOP

lucasg85

Rank: 2

UID
223421 
帖子
317 
主题
7 
注册时间
2011-7-11 
最后登录
2014-8-7 
7#
发表于 2011-7-13 13:03 | 只看该作者
smileygladhands Wrote:
-------------------------------------------------------
> R = a +B(Rm) + e
>
> B(Rm) would be beta x the expected return on the
> market
>
> a = the component of the security's return that is
> driven by firm-specific risk.
>
> E is just an error term


this is correct - this model is based on the relationship of the security to the market. B(Rm) is the security's return based on its relationship to the market. alpha (a) is the return that the security earns that is beyond its relationship to the market; its 'firm-specific' or 'unique' risk based return. e is the error term assuming a regression.

TOP

返回列表