习题
Chapter 9
3. You are a consultant to a large manufacturing corporation that is considering a project with the following net after-tax cash flows (in millions of dollars):
蛋饺的做法
The project’s beta is 1.8. Assuming that, what is the net prent value of the project? What is the highest possible beta estimate for the project before its NPV becomes negative?
4. Are the following true or fal? Explain.
a. Stocks with a beta of zero offer an expected rate of return of zero.
b. The CAPM implies that investors require a higher return to hold highly volatile curities.
c. You can construct a portfolio with beta of .75 by investing .75 of the investment budget in T-bills and the remainder in the market portfolio.
In problems 13 to 15 assume that the risk-free rate of interest is 6% and the expected rate of return on the market is 16%.
13. Ashare of stock lls for $50 today. It will pay a dividend of $6 per share at the end of the year. Its beta is 1.2. What do investors expect the stock to ll for at the end of the year?
14. I am buying a firm with an expected perpetual cash flow of $1,000 but am unsure of its risk. If I think the beta of the firm is .5, when in fact the beta is really 1, how much more will I offer for the firm than it is truly worth?
15. A stock has an expected rate of return of 4%. What is its beta?
17. Suppo the rate of return on short-term government curities (perceived to be riskfree) is about 5%. Suppo also that the expected rate of return required by the mark
et for a portfolio with a beta of 1 is 12%. According to the capital ast pricing model (curity market line):
a. What is the expected rate of return on the market portfolio?
b. What would be the expected rate of return on a stock with beta银行过年放假吗＝0?
c. Suppo you consider buying a share of stock at $40. The stock is expected to pay $3 dividends next year and you expect it to ll then for $41. The stock risk has been evaluated at beta＝－0.5. Is the stock overpriced or underpriced?
21. The curity market line depicts:人参果的营养价值
a. A curity’s expected return as a function of its systematic risk.
b. The market portfolio as the optimal portfolio of risky curities.
叹世c. The relationship between a curity’s return and the return on an index.
读书活动手抄报d. The complete portfolio as a combination of the market portfolio and the risk-free ast.
22. Within the context of the capital ast pricing model (CAPM), assume:
• Expected return on the market ＝15%.
足球五大联赛• Risk-free rate _ 8%.
• Expected rate of return on XYZ curity ＝ 17%.
• Beta of XYZ curity ＝1.25.
打火鸡Which one of the following is correct?
a. XYZ is overpriced.
b. XYZ is fairly priced.
c. XYZ’s alpha is＝-0.25%.
d. XYZ’s alpha is=0 .25%.
The following table shows risk and return measures for two portfolios. answer question 26 and 27
26. When plotting portfolio R on the preceding table relative to the SML, portfolio R lies:
a. On the SML.
b. Below the SML.
c. Above the SML.
d. Insufficient data given.
27. When plotting portfolio R relative to the capital market line, portfolio R lies:
a. On the CML.
b. Below the CML.
c. Above the CML.
科学态度
d. Insufficient data given.
31. Karen Kay, a portfolio manager at Collins Ast Management, is using the capital ast pricing model for making recommendations to her clients. Her rearch department has developed the information shown in the following exhibit.
a. Calculate expected return and alpha for each stock.
b. Identify and justify which stock would be more appropriate for an investor who wants to
i. add this stock to a well-diversified equity portfolio.
ii. hold this stock as a single-stock portfolio.
Chapter 11
1. A portfolio management organization analyzes 60 stocks and constructs a meanvariance efficient portfolio using only the 60 curities.
a. How many estimates of expected returns, variances, and covariances are needed to optimize this portfolio?
b. If one could safely assume that stock market returns cloly remble a single index structure, how many estimates would be needed?
2. The following are estimates for two of the stocks in problem 1.
The market index has a standard deviation of 22% and the risk-free rate is 8%.
a. What is the standard deviation of stocks A and B?
