公司财务精要课程会让你深入理解有关公司，投资者以及他们在资本市场的相互影响的核心金融问题。本课程结束时，你应该能够读懂大部分金融出版物并可以使用基本的企业和财务专业金融词汇。(邹广隶 译)

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來自 IESE Business School 的課程

公司财务精要

965 個評分

公司财务精要课程会让你深入理解有关公司，投资者以及他们在资本市场的相互影响的核心金融问题。本课程结束时，你应该能够读懂大部分金融出版物并可以使用基本的企业和财务专业金融词汇。(邹广隶 译)

從本節課中

Risk and Return

Welcome to Session 1 In this session we will discuss some basic but essential financial concepts such as mean return, volatility, and beta. We will also learn how to apply them in order to assess the performance of selected equity markets over the last decade. The learning objective is to understand the basic, essential, and widely used financial concepts.

- Javier EstradaProfessor of Financial Management

Department of Financial Management

>> [MUSIC]

So, in order to now move on a little bit, we're going to think in terms of return.

We're going to focus for the next few minutes in terms of risk.

And, and the important thing here is, first and

foremost, in finance, these two things go always together.

You cannot really separate return from risk.

These are like two sides of the same coin.

You can only interpret properly a given amount of return only if

you're thinking of the return that, of the risk that investors are exposed to

when they expect or they get those those returns.

So, before we start with risks let's keep one thing in mind.

We can measure the return of an asset in two different ways.

As a matter of fact, there are three different definitions of mean returns.

One of which we will read directly from the technical note but

we will not actually cover in the, in this session.

So, let's say there's more than one way of calculating mean returns and

there's more than one way of calculating risk.

Before we start with, with thinking about possible definitions of risk, and

for our purposes we're going to cover two.

One thing that is important and I will highlight again at the end and

that is that there are very many definitions of risk.

In finance we may think about two or three ways of summarizing mean returns.

And, and again those different ways of summarizing mean returns.

They sort of designed to answer different questions and

they give you obviously different answers, numerical and, in terms of interpretation.

And exactly the same thing, is about risk, with one difference.

There are many more ways to access the risk of

an asset than they are to access the mean return of an asset.

And the reason for this is, is obvious if,

if you, I, I ask ten people to evaluate the performance of

an asset over ten years all of them will actually give me the same number.

They will look at the value of the asset at the beginning.

They will look at the value of the asset at the end.

They will look at the cash flows that they got in between.

And then they would calculate either the mean return, or

the return between the beginning and the end of the period.

But there's no controversy there.

Ten people looking at the same data will come up with exactly the same

return obtained by being invested in the asset over that ten year period.

If I were to ask those ten people to give me an idea of the risk of

the asset then I might get ten completely different answers.

Some people might focus on variability, some people might focus on losses.

Some people might focus on how large those losses were.

Some other people would focus on how frequently those losses happen, and

so, you know, we open a little bit of Pandora's box.

We don't really know what is going to come out.

And that is important that you know from the beginning that when we

assess the risk of an asset there are multiple ways of doing so.

Of all those ways we're going to focus on the two that are what we

typically call the standard of modern corporate finance ways of assessing risk.

And that is, just so that you get the names, are what we call volatility,

sometimes also called the standard deviation of returns and beta.

A beta is a very widely used variable very famous quote, unquote.

And we're going to encounter beta later on when we explore the cost of

capital in the third and fourth sessions of this of this course.

But again, before we actually define and

calculate the standard deviation of returns or volatility, and

beta keep in mind that we could actually assess the risk of the four assets we've

been working on, or any other asset in many, many, many different ways.

Now, modern portfolio theory sort of goes back to the early 50s.

And in the early 50s a guy by the name of Harry Markowitz that

eventually won the Nobel Prize in economics precisely for this

contributions to the risk of individual assets and to the risk of the portfolio.

What Markowitz actually proposed, is that, one way we can think of

the risk of an individual asset is by the variability of the asset.

And that is, technically speaking, what we call, the standard deviation of returns.

So, you may or may not know about, if I give you a very long series of returns,

I can actually look at that, the distribution of returns.

I can calculate the mean of that distribution, and

that would be the arithmetic mean that we already talked about.

And I can calculate the standard deviation, which basically gives you

an idea of dispersion around that arithmetic mean return.

So, you know, I could look at some asset, like for

example, a one year treasury bill.

In which, if we look at all the historical returns, we calculate the mean return and

we look at the dispersion around those mean returns.

Well, that dispersion is not going to be very large.

And the reason it's not going to be very large because, is simply because,

you didn't get very high returns, and you didn't get very low returns.

You get returns that are more or less clustered closely around that mean return.

Now, let's suppose that I give you instead the distribution of

returns of an emerging market, like Russia.

Well, you know, you calculate the arithmetic mean return, but

then you get returns that are very far away on the positive side, and

very far away from the negative side from that mean return.

That means that you get a lot more dispersion,

you get a lot more variability.

Why is that important?

Well because, one way you're thinking about this volatility or

standard deviation of returns is simply as a measure of uncertainty.

You know, in the case of the one year treasury bill,

history tells me that I'm not going to make a lot of money and

I'm not going to lose a lot of money is that, you know,

I have returns that are more or less predictable within a fairly narrow range.

But if I look at the history of the Russian market,

that actually will tell me that I have a huge uncertainty.

Because there are periods in which I could have more than doubled my money, and

there are periods in which I could actually lost more than half of my money.

And that uncertainty is precisely what the standard deviation tends to capture.

That volatility, that uncertainty, that variability is something that in finance

we do not spend a lot of time trying to think of the actual meaning of a number.

And another way to put that is to say that typically we look,

we use volatility in relative terms.

What does that mean?

Well, let's go back to our dataset that's the calculation of the volatility numbers.

And let me remind you of one thing.

Let me remind you that the numbers that we have here are total returns.

The numbers that we have here are dollar returns.

We have the arithmetic mean returns already calculated.

And what these numbers basically mean, and

remember we're not doing any formulas here.

You have the formulas in the technical node that

compliments this particular session.

But, you know, if you look at the number for the US, it's 17.9%,

28% for Spain, 64% for Egypt and about 20% for the world market.

And what I was meaning before, when I said that we usually use this variable in

relative terms, is that we compare the 18% for the US with the 28% with Spain.

And we say, well, returns in Spain tend to fluctuate more and

they're more uncertain than they are in the US.

We compare the 28% of Spain with 64% of Egypt and

we say, well, you know, look at, just look at the returns.

Returns in Egypt tend to be far more variable than they are in Spain and

than they are in the US.

In other words, we never tried and, you know,

as much as, for example, for the geometric mean return.

We gave it very clear and

precise definition of what they, each of those numbers meant.

So, for example, the 7.7% for the world market was the mean

annual compound rate at which a capital invested evolved time.

We give a very precise definition.

We're not going to do that for the standard deviation.

And more often than not, that's the way we used it.

The higher the number, the more uncertainty,

the more variability in the data.

And so, do not stress to, you know, in trying to interpret well,

but what does 28% of one mean?

Well, if you actually look at the formula that we use to calculate a standard

deviation, strictly speaking, what that is, and you hold on to your seat here,

this is the square root of the average quadratic deviation,

with respect to the arithmetic mean return.

Now, you can as well, forget that.

You're not going to use the definition in that way.

What matters to you, is that 28 is higher than 18,

64 is higher than 28 and 17, and 20 is lower than 64.

And that gives you an idea of relative variability, relative volatility,

of the markets that we're actually discussing.

So, that is as far as the interpretation of the volatility or

standard deviation goes.

The higher this number, the more dispersion around the mean,

the more variability in the data, the more uncertainty we have

about the returns that we observed, but obviously, the more uncertainty we have

about the returns that we expect from this particular from this particular asset.

And again, we're not really going to go much further,

in terms of trying to explain what we mean by volatility.

We're going to stay with the fact that the higher this number is, then the more

uncertainty you're going to have about the expected returns that that asset

might actually give you, particularly from the point of view of your pocket.

More uncertainty means, more uncertainty in terms of what capital you're going to

have, at the end of any given period.

And how that capital, is going to be fluctuating over time.

Now, one more thing and then we move on to the next measure of risk which is beta.

And another thing with volatility is you know,

the reason that sometimes we use it in relative terms is because if

you work in finance you would have some numbers in the back of your head.

So, for example, historical volatility, in annual terms of the US equity market,

is between 17 and 20%, depending on the periods that you actually look at.

But if you have that number in the back of your head and

someone shows you an equity market with a volatility of 60%,

well, you know, that that market is actually very volatile.

You're going to have a lot of uncertainty, but if someone actually brings you

an asset with a volatility, annual volatility of 5%,

then you know that this is a very stable asset, at least compared to the US market.

So, the way that we typically use volatility is,

again, not only in relative terms, but

also in relative terms after having a few numbers in the back of our head.

So again, two numbers that you may want to put in the back of your head is

historical volatility of the US equity market between 17 and 20%.

Historical bola, volatility of the US bond market between eight and

11%, again, depending on the periods that you look at.

[MUSIC]