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MK 1 Kuliah 2 Financial Environment
MK 1 Kuliah 2 Financial Environment
Review:
Roles
1. 2. 3.
of Financial Manager
The
Max. Value Max. Profit Max. Value = Max. Shareholders Wealth = Max. Market Value of Stock
Agency
1. 2.
Conflict
Manakah yang lebih menarik bagi Anda, investasi pada deposito, saham, obligasi, reksa dana, forex, opsi, kontrak berjangka atau real estat? Jika Anda akan berinvestasi pada saham atau obligasi atau pada aset riil, apa yang menjadi pertimbangan Anda? Jika Anda akan menilai saham suatu perusahaan, apa yang menjadi dasar analisis Anda?
2 DEFICIT UNITS
(BORROWERS) FINANCIAL MARKETS
1 SURPLUS UNITS
(INVESTORS)
3
SECURITIES
4
SECURITIES
FINANCIAL MARKET
Sources of Longterms vs Short-term Capital 1. Capital Market (Stock Market and Bond Market) 2. Money Market Financial Intermediaries/Institutions 1. Bank 4. Insurance 2. Venture Capital 5. Pension Funds 3. Mutual Funds 6. Factoring and Leasing Speculation and Hedging 1. Option Market 3. Futures Market 2. Forex Market
Flow of Savings
Money
OTC Markets
Irwin/McGraw-Hill
$ Windsor Fund
Issues shares
Investors
Open-End Close-End
Irwin/McGraw-Hill
Financial Markets
Banks Insurance Cos. Brokerage Firms
Company
Funds
Obligations
Intermediary
Obligations Funds
Investor
Banks
Intermediary
Deposits Cash
Depositors
Investor
Irwin/McGraw-Hill
Insurance Company
Intermediary
Sell policies Issue Stock Cash
Policyholders
Investor
Irwin/McGraw-Hill
Transporting cash across time Risk transfer and diversification Liquidity Payment mechanism Provide information
Commodity prices Interest rates Company values
TRANSACTION COSTS
PENGERTIAN RETURN
y Return adalah imbalan atas keberanian investor menanggung risiko, serta komitmen waktu dan dana yang telah dikeluarkan oleh investor. y Return juga merupakan salah satu motivator orang melakukan investasi. y Sumber-sumber return terdiri dari dua komponen: 1. Yield 2. Capital gains (loss) y Dengan demikian, return total investasi adalah: Return total = yield + capital gains (loss) (4.1)
4-15
PENGERTIAN RISIKO
y Risiko adalah kemungkinan perbedaan antara return aktual yang diterima dengan return yang diharapkan. y Sumber-sumber risiko suatu investasi terdiri dari:
1. Risiko suku bunga 2. Risiko pasar 3. Risiko inflasi 4. Risiko bisnis 5. Risiko finansial 6. Risiko likuiditas 7. Risiko nilai tukar mata uang 8. Risiko negara (country risk)
Tks untuk Eduardus Tandelilin 4-16
PENGERTIAN RISIKO
y Risiko juga bisa dibedakan menjadi dua jenis:
dari suatu aset tunggal kita perlu mengetahui distribusi probabilitas return aset bersangkutan, yang terdiri dari: 1. Tingkat return yang mungkin terjadi 2. Probabilitas terjadinya tingkat return tersebut
4-18
E (R) !
R
i !1
pri
(4.2)
dimana: E(R) = Return yang diharapkan dari suatu sekuritas Ri = Return ke-i yang mungkin terjadi pri = probabilitas kejadian return ke-i n = banyaknya return yang mungkin terjadi
4-19
(4.4)
4-20
y Berdasarkan tabel distribusi probabilitas di atas, maka tingkat return yang diharapkan dari aset ABC tersebut bisa dihitung dengan menerapkan rumus 4.2:
E(R)
y Berdasarkan data dalam tabel di atas, arithmetic mean bisa dihitung dengan menggunakan rumus 4.3 di atas: [15,25 20,35 (-17,50) (-10,75) 15,40] X ! 5 [ 22,75] X ! ! 4,55 % Tks untuk Eduardus Tandelilin 5 4-22
G= [(1 + 0,1525) (1 + 0,2035) (1 0,1750) (1- 0,1075) (1 + 0,1540)]1/5 1 = [(1,1525) (1,2035) (0,8250) (0,8925) (1,1540)]1/5 1 = (1,1786) 1/5 1 = 1,0334 1 = 0,334 = 3,34%
4-23
penyebaran distribusi probabilitas return. Ada dua ukuran risiko aset tunggal, yaitu: 1. Varians 2. Deviasi standar
y Di samping ukuran penyebaran tersebut, kita juga
perlu menghitung risiko relatif aset tunggal, yang bisa diukur dengan koefisien variasi.
y Risiko relatif ini menunjukkan risiko per unit
koefisien variasi adalah: Varians return = W2 = 7 [Ri E(R)]2 pri Standar deviasi = W = (W2)1/2
standar deviasi return Wi Koefisien variasi ! ! return yang diharapkan E(Ri ) dimana: W2 = varians return W = standar deviasi E(Ri) = Return ke-i yang mungkin terjadi pri = probabilitas kejadian return ke-I (R) = Return yang diharapkan dari suatu sekuritas
4-25
(2)
Probabilitas (pr)
(3)
(1) X (2) R
(4)
E(R)
(5)
[(R-E(R)]2
CV = 0,0449/0,080 = 0,56125 Standar deviasi = W = (W2)1/2 = (0,00202)1/2 = 0,0449 = 4,49% Eduardus Tandelilin 2001
4-26
Risk
Profit + Losses
Low potential for fluctuation Low Risk Low risk investments tend to have a low potential for fluctuation
Sumber: http://www.softcapital.co.jp/eigo/return1.html
Eduardus Tandelilin 2001 1-27
RF
Risiko sedang
Risiko tinggi
Risiko
Sumber: Farrel, James L., 1997, Portfolio Management: Theory and Application, McGraw- Hill, Singapore, hal. 11. Eduardus Tandelilin 2001
1-28
PORTFOLIO MANAGEMENT
DON T PUT YOUR ALL EGGS INTO ONE BASKET
(TRADE OFF BETWEEN RISK AND RETURN)
Investment returns
The rate of return on an investment can be calculated as follows:
Return =
________________________
Amount invested
For example, if $1,000 is invested and $1,100 is returned after one year, the rate of return for this investment is: ($1,100 - $1,000) / $1,000 = 10%.
Investment risk is related to the probability of earning a low or negative actual return. The greater the chance of lower than expected or negative returns, the riskier the investment.
Probability distributions
A listing of all possible outcomes, and the probability of each occurrence. Can be shown graphically.
Firm X
Source: Based on Stocks, Bonds, Bills, and Inflation: (Valuation Edition) 2005 Yearbook (Chicago: Ibbotson Associates, 2005), p28.
Investment alternatives
Economy Prob. 0.1 0.2 0.4 0.2 0.1 T-Bill 5.5% 5.5% 5.5% 5.5% 5.5% HT -27.0% -7.0% 15.0% 30.0% 45.0% Coll 27.0% 13.0% 0.0% -11.0% -21.0% USR 6.0% -14.0% 3.0% 41.0% 26.0% MP -17.0% -3.0% 10.0% 25.0% 38.0%
Why is the T-bill return independent of Tthe economy? Do T-bills promise a Tcompletely risk-free return? riskT-bills will return the promised 5.5%, regardless of the economy. No, T-bills do not provide a completely risk-free return, as they are still exposed to inflation. Although, very little unexpected inflation is likely to occur over such a short period of time. T-bills are also risky in terms of reinvestment rate risk. T-bills are risk-free in the default sense of the word.
Moves with the economy, and has a positive correlation. This is typical. Coll. Is countercyclical with the economy, and has a negative correlation. This is unusual.
r ! xp ct d r t
^
f r tur
r ! ri
i!
! ( ( (
) ( . ) ()( . )( )( . )! .
)( . ) )( . )
HT has the highest expected return, and appears to be the best investment alternative, but is it really? Have we failed to account for risk?
W ! Variance ! W
!
(ri )2 r
i! i
i !1
(ri r ) 2 Pi
2 2
W T bills
(5.5 - 5.5) (0.1) (5.5 - 5.5) (0.2) ! (5.5 - 5.5) 2 (0.4) (5.5 - 5.5) 2 (0.2) (5.5 - 5.5) 2 (0.1) W Coll ! 13.2% W USR ! 18.8% W M ! 15.2% ! 20.0%
W T bills ! 0.0% W HT
5.5 9.8
12.4
deviation ( i) measures total, or stand-alone, risk. The larger i is, the lower the probability that actual returns will be closer to expected returns. Larger i is associated with a wider probability distribution of returns.
Collections has the highest degree of risk per unit of return. HT, despite having the highest standard deviation of returns, has a relatively average CV.
0
A
= B , but A is riskier because of a larger probability of losses. In other words, the same amount of risk (as measured by ) for smaller returns.
Risk aversion assumes investors dislike risk and require higher rates of return to encourage them to hold riskier securities. Risk premium the difference between the return on a risky asset and a riskless asset, which serves as compensation for investors to hold riskier securities.
Assume a two-stock portfolio is created with $50,000 invested in both HT and Collections. A portfolios expected return is a weighted average of the returns of the portfolios component assets. Standard deviation is a little more tricky and requires that a new probability distribution for the portfolio returns be devised.
r p is
^
i ht d v r
^ i
rp !
i!
ri
rp ! . (
) . ( .
) ! 6.
HT -7.0% 15.0%
-27.0% 27.0%
30.0% -11.0%
r ! 0.10 (0.0%) 0.20 (3.0%) 0.40 (7.5%) 0.20 (9.5%) 0.10 (12.0%) ! 6.7%
! .
! 0.
= 3.4% is much lower than the i of either stock ( HT = 20.0%; Coll. = 13.2%). p = 3.4% is lower than the weighted average of HT and Coll.s (16.6%). Therefore, the portfolio provides the average return of component stocks, but lower than the average risk. Why? Negative correlation between stocks.
p
Stock M
25 15 0
Portfolio WM
-10
-10
-10
Stock M
25 15 0
Portfolio MM
-10
-10
-10
Creating a portfolio: Beginning with one stock and adding randomly selected stocks to portfolio
decreases as stocks added, because they would not be perfectly correlated with the existing portfolio. Expected return of the portfolio would remain relatively constant. Eventually the diversification benefits of adding more stocks dissipates (after about 10 stocks), and for large stock portfolios, p tends to converge to } 20%.
p
10
20
30
40
2,000+
# Stocks in Portfolio
Market risk portion of a securitys stand-alone risk that cannot be eliminated through diversification. Measured by beta. Diversifiable risk portion of a securitys standalone risk that can be eliminated through proper diversification.
Failure to diversify
If an investor chooses to hold a one-stock portfolio (doesnt diversify), would the investor be compensated for the extra risk they bear? NO! Stand-alone risk is not important to a welldiversified investor. Rational, risk-averse investors are concerned with p, which is based upon market risk. There can be only one price (the market return) for a given security. No compensation should be earned for holding unnecessary, diversifiable risk.
Model linking risk and required returns. CAPM suggests that there is a Security Market Line (SML) that states that a stocks required return equals the risk-free return plus a risk premium that reflects the stocks risk after diversification. ri = rRF + (rM rRF) bi
Primary conclusion: The relevant riskiness of a stock is its contribution to the riskiness of a well-diversified portfolio.
Beta
a stocks market risk, and shows a stocks volatility relative to the market. Indicates how risky a stock is if the stock is held in a well-diversified portfolio.
Measures
Comments on beta
If beta = 1.0, the security is just as risky as the average stock. If beta > 1.0, the security is riskier than average. If beta < 1.0, the security is less risky than average. Most stocks have betas in the range of 0.5 to 1.5.
Calculating betas
Well-diversified investors are primarily concerned with how a stock is expected to move relative to the market in the future. Without a crystal ball to predict the future, analysts are forced to rely on historical data. A typical approach to estimate beta is to run a regression of the securitys past returns against the past returns of the market. The slope of the regression line is defined as the beta coefficient for the security.
.
5 10
Year 1 2 3
rM 15% -5 12
ri 18% -10 16
-5
0 -5 -10
15
20
_
rM
Regression line:
^ = -2.59 + 1.44 r^ r
i
_ ri
HT: b = 1.30
20 T-bills: b = 0
-20
20
40 Coll: b = -0.87
_ kM
-20
the yield curve is flat and that rRF = 5.5% and RPM = 5.0%.
Additional return over the risk-free rate needed to compensate investors for assuming an average amount of risk. Its size depends on the perceived risk of the stock market and investors degree of risk aversion. Varies from year to year, but most estimates suggest that it ranges between 4% and 8% per year.
= 5.5% + (5.0%)(1.32) = 5.5% + 6.6% = 12.10% = 5.5% + (5.0%)(1.00) = 10.50% = 5.5% + (5.0%)(0.88) = 9.90% = 5.5% + (5.0%)(0.00) = 5.50% = 5.5% + (5.0%)(-0.87) = 1.15%
SML
.
Coll.
. T-bills
. ..
USR
1 2
Risk, bi
a portfolio with 50% invested in HT and 50% invested in Collections. The beta of a portfolio is the weighted average of each of the stocks betas. bP = wHT bHT + wColl bColl bP = 0.5 (1.32) + 0.5 (-0.87) bP = 0.225
The required return of a portfolio is the weighted average of each of the stocks required returns. rP = wHT rHT + wColl rColl rP = 0.5 (12.10%) + 0.5 (1.15%) rP = 6.63% Or, using the portfolios beta, CAPM can be used to solve for expected return. rP = rRF + (RPM) bP rP = 5.5% + (5.0%) (0.225) rP = 6.63%
What if investors raise inflation expectations by 3%, what would happen to the SML?
( I = 3%
SML2 SML1
Risk, bi
1.5
What if investors risk aversion increased, causing the market risk premium to increase by 3%, what would happen to the SML?
( RPM = 3%
SML2 SML1
Risk, bi
0 0.5 1.0 1.5
CAPM has not been verified completely. Statistical tests have problems that make verification almost impossible. Some argue that there are additional risk factors, other than the market risk premium, that must be considered.
Investors seem to be concerned with both market risk and total risk. Therefore, the SML may not produce a correct estimate of ri. ri = rRF + (rM rRF) bi + ??? CAPM/SML concepts are based upon expectations, but betas are calculated using historical data. A companys historical data may not reflect investors expectations about future riskiness.