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Financial management and analysis phần 4

Thông báo, tuy nhiên, rằng điều này là sự mất mát tối đa mà người mua lựa chọn sẽ nhận ra bất kể như thế nào thấp giảm giá tài sản X. 2. Nếu giá của tài sản X là tương đương với $ 60 vào ngày hết hạn, có một lần nữa không có giá trị kinh tế trong việc thực hiện tùy chọn. Như trong trường hợp nơi | 296 THE FUNDAMENTALS OF VALUATION the result is thesecurity market line SML as shown in Exhibit 10.9.6 As you can see in the gure 1. The greater theq the greater the expected return. 2. If there were no market risk beta 0.0 on an asset its expected return would be the expected return on the risk-free asset. 3. If the assets risk is similar to the risk of the market as a whole beta 1.0 that assets expected return is the return on the market portfolio. Foran individual asset beta is a measure of sensitivity of its returns to changes in return on the market portfolio. If beta is one we expect that for a given change of 1 in the market portfolio return the assets return is expected to change by 1 . If beta isless than onẹthen for a 1 change in the expected market return the assets return is expected to change by less than 1 . If the beta isgreater than onẹ then for a 1 change in the expected market return the assets return is expected to change by more than 1 . We typically estimate the beta for a common stock by looking at the historical relation between its return and the return on the market as a whole. The betas of some U.S. companiesêcommon stocks are listed in Exhibit 10.10. EXHIBIT 10.Security Market Line that Describes the Relation Between Expected Asset Returns and Beta Expected Return 6 You notice that in the discussion of the asset pricing models we refer to the risk and expected return forasset which can be any asset not exclusively stocks. The Security Market Line describes a relation between expected return and market risk that is applicable to any asset even though the name implies securities. Risk and Expected Return 297 EXHIBIT 10.1 Security Betas of U.S. Companies Common Stock Company Industry Security Beta Amazon.com Retailer Internet 1.85 Bank of America Financial services 1.30 Baxter International Inc. Pharmaceuticals 0.80 Carnival Corporation Recreation 1.50 Coca-Cola Beverages 0.80 Cooper Tire and Rubber Tire and rubber 0.95 Dole Foods Food .