标题: financial equilibrium model [打印本页] 作者: king_kong 时间: 2011-7-13 13:34 标题: financial equilibrium model
looking at it now...don't know it, don't want to spend time on it. is this a crucial topic? a likely question/calculation? getting too tired to learn anything "new" right now.作者: bboo 时间: 2011-7-13 13:34
yes I think it's important, ICAPM, singer-terhaar etc. I have a feeling integrated/segmented markets will be on the exam so thanks for reminding me.作者: Windjammer 时间: 2011-7-13 13:34
I like it! Thanks for that last blurb.作者: dyga 时间: 2011-7-13 13:34
if you know icapm and beta formulae then you can do any of these problems
starting with icapm:
req return = rf + B(Rp-Rm)
B = cov(asset,world market) / variance of market
substituting correlation in for covariance:
B = (correlation(asset, market) *std dev asset * std dev market) / variance of market
B = (correlation(asset, market) *std dev asset) / std dev market
so now,
req return = rf + [(correlation(asset, market) *std dev asset) / std dev market] * (Rp-Rm)
req return - rf = ERPi
(rp-rm/std dev market) = sharpe ratio
so we get
ERPi = correlation(asset,market)*std dev asset*sharpe ratio
now use this equation twice and plug in for degree of integration
if market is totally segmented, correction = 1 because asset and market are perfectly correlated
now that you have ERP, the required return = Rf + ERP作者: zwjy 时间: 2011-7-13 13:34
Wow - Thanks for the input.作者: Unforseen 时间: 2011-7-13 13:35
thanks for the reminder on this... forgot about the ERP calc.
