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ACCA FM知识点：系统风险和非系统风险
文章来源：ACCA全球官网
发布时间：2021-11-10 15:10
阅读：714次
系统性风险是指国家因多种外部或内部的不利因素经过长时间积累没有被发现或重视，在某段时间共振导致无法控制使金融系统参与者恐慌性出逃（抛售），造成全市场投资风险加大。系统性风险对市场上所有参与者都有影响，无法通过分散投资来加以消除。
系统性风险包括政策风险、经济周期性波动风险、利率风险、购买力风险、汇率风险。其中政策和宏观的变化交互影响市场的流动性。
非系统风险亦称“非市场风险”、“可分散风险”。与“系统性风险”相对。与股票市场、期货市场、外汇市场等相关金融投机市场波动无关的风险。非系统风险是由特殊因素引起的，如企业的管理问题、上市公司的劳资问题等，是某一企业或行业特有的风险，只影响某些股票的收益。非系统风险可通过分散投资消除。
The cost of equity
Section E of the Study Guide for Financial Management contains several references to the Capital Asset Pricing Model(CAPM).This article introduces the CAPM and its components,shows how it can be used to estimate the cost of equity,and introduces the asset beta formula.Two further articles will look at applying the CAPM in calculating a project-specific discount rate,and will look at the theory,and the advantages and disadvantages of the CAPM.
Whenever an investment is made,for example in the shares of a company listed on a stock market,there is a risk that the actual return on the investment will be different from the expected return.Investors take the risk of an investment into account when deciding on the return they wish to receive for making the investment.The CAPM is a method of calculating the return required on an investment,based on an assessment of its risk.
Systematic and unsystematic risk
If an investor has a portfolio of investments in the shares of several different companies,it might be thought that the risk of the portfolio would be the average of the risks of the individual investments.In fact,it has been found that the risk of the portfolio is less than the average of the risks of the individual investments.By diversifying investments in a portfolio,therefore,an investor can reduce the overall level of risk faced.
There is a limit to this risk reduction effect,however,so that even a‘fully diversified’portfolio will not eliminate risk entirely.The risk which cannot be eliminated by portfolio diversification is called‘undiversifiable risk’or‘systematic risk’,since it is the risk that is associated with the financial system.The risk which can be eliminated by portfolio diversification is called‘diversifiable risk’,‘unsystematic risk’,or‘specific risk’,since it is the risk that is associated with individual companies and the shares they have issued.The sum of systematic risk and unsystematic risk is called total risk(Watson D and Head A,Corporate Finance：Principles and Practice,7th edition,Pearson Education Limited,Harlow pp.245-6).
相关阅读：【ACCA FM知识点：资本资产定价模型】
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