CAPM MODELO DE VALUACION DE ACTIVOS FINANCIEROS

CAPM (Modelo de valuacion de activos financieros por cartera de mercado)

El "Cap-M" parece en riesgo y las tasas de rendimiento y se las compara con el mercado bursátil general. Si utiliza CAPM debe asumir que la mayoría de los inversores desean evitar el riesgo (aversion al riesgo), y los que corren riesgos esperan una compensacion por esto.

Beta - Ahora, debe saber sobre Beta. Beta esel riesgo total en inversion en un mercado grande, como la Bolsa de Valores de Nueva York. Beta, por definicion, es igual a 1.0000. 1 exactamente. Cada compania tambien tiene un beta. Usted puede encontrar el beta de una compania en la Pagina de cotizacion de acciones de Yahoo!. El beta de una compania es el riesgo de esa compania comparado con el riesgo del mercado general. Si la compania tieneun beta de 3.0, se dice que es 3 veces mas riesgoso que el mercado general.
Ks = Krf + B ( Km - Krf)
Ks = La Tasa de Rendimiento requerida, (o solo la tasa de rendimiento)
Krf = La Tasa libre de riesgo (la tasa de rendimiento de una ginversion libre de riesgosh, como los Bonos del Tesoro del Gobierno de EE.UU. ? Vea nuestro Disclaimer)
B = Beta (ver anterior)
Km = El rendimiento esperado enel mercado accionario general (Debe suponer que tasa de rendimiento piensa que producira el mercado accionario general)

Como ejemplo, supongamos que la tasa libre de riesgo es del 5%, y el mercado accionario general producira una tasa de rendimiento del 12.5% el ano proximo. Vea que la compania XYZ (lea nuestro Disclaimer) tiene un beta de 1.7.
?Que tasa de rendimiento deberia obtener de estacompania para ser compensado por el riesgo que esta corriendo? Recuerde que invertir en la compania XYZ (beta =1.7) es mas riesgoso que invertir en el mercado accionario general (beta = 1.0). Asi que desea obtener mas del 12.5%, ?verdad?
Ks = Krf + B ( Km - Krf)
Ks = 5% + 1.7 ( 12.5% - 5%)
Ks = 5% + 1.7 ( 7.5%)
Ks = 5% + 12.75%
Ks = 17.75%
Entonces, si invierte en la Compania XYZ, deberiaobtener al menos un rendimiento del 17.75% de su inversion. Si no considera que la Compania XYZ producira ese tipo de rendimiento para usted, entonces probablemente consideraria invertir en un diferente mercado accionario.
Ah, but CAPM has some flaws. (don't we all)
If you go to a casino, you basically pay for risk. It's possible that the folks on Wall Street sometimes have the same mindset aswell. Now remember that CAPM assumes that given "X%" expected return investors will prefer lower risk (in other words lower variance) to higher risk. And the opposite would be true as well - given a certain level of risk investors would prefer higher returns to lower ones. OK, but maybe the Wall Street people get a kick out of "gambling" their investment. Not saying it's been proven to be thecase, just saying it could be. CAPM doesn't allow for investors who will accept lower returns for higher risk.
CAPM assumes that asset returns are jointly normally distributed random variables. But often returns are not normally distributed. So large swings, swings as big as 3 to 6 standard deviations from the mean, occur in the market more frequently than you would expect in a normal distribution.CAPM assumes that the variance of returns adequately measures risk. This might be true if returns were distributed normally. However other risk measurements are probably better for showing investors' preferences. Coherent risk measures comes to mind.
With CAPM you assume that all investors have equal access to information and they all agree about the risk and expected return of the assets.This idea, by the way is called "homogeneous expectations assumption". Be ready for your professor to ask, "What's the Homogeneous Expectations Assumption and do you believe it's valid". Good luck with that one.
CAPM can't quite explain the variation in stock returns. Back in 1969, Myron Scholes, Michael Jensen and Fisher Black presented a paper suggesting that low beta stocks may offer higher...