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CHAPTER 10
Arbitrage Pricing Theory and Multifactor
Models of Risk and Return
Curriculum name: Investment 投资学
Curriculum teacher: Ying Dong 董莹
Major: Finance 金融学专业
INVESTMENTS |BODIE, KANE, MARCUS
McGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.
10-2
Single Factor Model
• Returns on a security come from two
sources:
– Common macro-economic factor
– Firm specific events
• Other possible common macro-economic
factors
– Gross Domestic Product Growth
– Interest Rates
INVESTMENTS |BODIE, KANE, MARCUS
10-3
Single Factor Model Equation
r E (r ) F e
i i i i
r = Return on security
i
β = Factor sensitivity or factor loading or factor beta
i
F = Surprise in macro-economic factor
(F could be positive or negative but has expected
value of zero)
e = Firm specific events (zero expected value)
i
INVESTMENTS |BODIE, KANE, MARCUS
10-4
Multifactor Models
• Use more than one factor in addition to
market return
– Examples include gross domestic product,
expected inflation, interest rates, etc.
– Estimate a beta or factor loading for each
factor using multiple regression.
INVESTMENTS |BODIE, KAN
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