حامد: نه لزومن کپ‌ام. اگر تحلیل صرفن روی کپ‌ام بود تغییرات در ریسک شرکتی نباید بازده را تغییر بدهد چون ریسک شخصی شرکت را به‌بود می‌‌بخشد که در بازار قیمت ندارد. در واقعیت کپ‌ام چندان برقرار نیست ولی عناصر ریسک دیگری وجود دارند که روی قیمت تاثیر دارند.

من متوجه نشدم منظورتان از دو کلمه بازده مورد انتظار و مورد توقع چیست. لطفن انگلیسی آن‌ها را ذکر کنید. اگر سرمایه‌گذار عقلانی باشد انتظارش از بازده بعد از اصلاحات می‌آید و منطبق بر بازده انتظاری می‌شود.

for example, statements like this

نکته‌ای که گفتم گاهی حتی اقتصاددان‌ها هم در مورد آن اشتباه می‌کنند و در پاسخ درست برخی دوستان هم مستتر بود این است که بازده سهام شرکت "هیچ" ربطی به بازده دارایی‌های شرکت (ROI) ندارد.

is just so wrong

do you know anyone who has ever made any money on CAPM?

Hamed:

Salam Akbar jaan,

I am not sure but I guess you are mixing up realized (ex-post) return with expected (ex-ante) return. Of course, a shock to ROI reflects itself on the price and finally on the "realized return" but as long as it does not carry risk load it does not change ex-ante return. Most of the serious studies relate any difference in the return eventually to a risk element (which may not be obvious in the first glance).

I don't think one can make money out of CAPM. why you think so?

BTW, I will not follow your advice :) because I am not interested in any form of short-term trade and here we are talking about long-term investment. May be this explains part of the difference in our analysis.

Hamed: Welcome Hazhir Jaan,

I guess one should separate "price" and "return" and then the puzzle is resolved.

Of course, current price comes from Dividends and the Stochastic Discount Rate. Any shock to the level of dividends (better market demand, change in supply, etc) will only affect current price (and of course a shock to the realized return).

Return is the difference between today and tomorrow's price. Any predictable element of future is already reflected in all of these prices (and not the future ones). Now remains what determines P2 (tomorrow price) compared to P1 (today price).

Lets use an example. Suppose profit today is 10. But from tomorrow onwards the profit will jump to 20 because of the changes in supply side. Of course ROI (profit to physical assets) will be much higher in the later periods than today. Right?. What about stock prices and returns?

P1=10/(1+r)+P2/(1+r)
P2=20/r
r1=(Capital Gain + Dividends)/P1=(P2-P1+10)/P1=r !
r2=(P3-P2+20)/P2 = r !

So, although the predictable ROI in period 2 is twice of period 1, the expected stock return is the same for both periods.

Again, this analysis is only true if structural changes leading into changes of ROI do not change the risk profile of the company (e.g. co-movement with business cycles, risk of bankruptcy, etc). I hope I got your question right.

you are clearly following a theoretical-mathematical abstract model and claiming that partial derivative of stock return with respect to ROI is zero.
بازده سهام شرکت "هیچ" ربطی به بازده دارایی‌های شرکت (ROI) ندارد
This is very bold statement and clearly not the case even if your model says so.

This is simply not true in reality. It doesn't really matter how many studies think so. Even if those studies appear in AER, reality is much different.

when we talk about ROI, we are implicitly talking about fundamental investors who don't have short term view on the market so we both are talking long term here.

ROI, Return on Equity, Return on Assets, Return on Capital are THE KEY metrics investors follow them carefully to eventually "LOAD" or "UNLOAD" some of their positions over time.

There is theory and there is practice. Practice comes with real world experience and does refine your understanding of the theory (like Labs in other fields). It helps you to digest your TEXTBOOK knowledge. I just don't understand how you could come up with such a bold statement as you have never managed any money in a developed market either for yourself or for the others?

Take care

Hamed: I have met many people who mix up realized and ex-ante return, so many of them :)

It is strange we can not get a clear discussion on this simple issue. What I am saying is quite simple, if investors are rational (which I guess most of the serious ones are) they will take into account any predictable part of ROI on the current price. What is remained as ex-ante return over time is the reward for risk (which some ROI-like metrics or elements may indeed "proxy" for that and this might be confusing. THIS IS A KEY STATEMENT IN OUR DEBATE).

Please refer to my response to Hazhir for a more detailed explanation. I agree with you that practice is always useful but I don't think for such a simple basic analysis you need to be a wall-street trader.

PS: I maintain this possibility that you always have information asymmetry and mispicing in mind while I am talking a rational investor in a clear market where there is no inside information advantage

Hamed: In that very simple example there is no uncertainty, therefore r is risk-free and no need to worry about risk-neutral measures. It is indeed very much like variable coupon bond pricing with a difference that because of book value of physical assets we can talk of ROI of firm.

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سپاسگذارم، میثم صفری

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