财管题目

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Chapter 10

12. Holding Period Return

A stock has had return of 18.43 percent, 16.82 percent, 6.83 percent , 32.19 percent, and -19.87 percent over the past five years, respectively. What was the holding period return for the stock?

19. Calculating Return and Variability

You can find a certain stock that had returns of 19 percent, -27 percent, 6 percent, and 34 percent for four of the last five years. If the average return of the stock over this period was 11 percent, what was the stock’s return for the missing year? What is the standard deviation of the stock’s returm?

21. Arithmetic and Geometric Returns A stock has had the following year-end prices and dividends: Year Price Dividend 1 49.62 - 2 55.83 68 3 57.03 0.73 4 50.25 0.84 5 58.82 0.91 6 64.18 1.02 What are the arithmetic and geometric returns for the stock?

23. Calculating Investment Returns You bought one of Bergen Manufacturing Co.’s 7 percent coupon bonds one year ago for $943.82. These bonds make annual payments and mature six years from now. Suppose you decide to sell your bonds today when the required return on the bonds is 8 percent. If the inflation rate was 4.8 percent over the past year, what would be your total real return in the investment?

Chapter 11

23. Portfolio Returns and Deviations Consider the following information about three stocks: State of Probability of Rate of return if State Occurs economy State of Stock A Stock B Stock C

Economy

Boom 0.35 0.2 0.35 0.6 Normal 0.40 0.15 0.12 0.05 Bust 0.25 0.01 -0.25 -0.50

a. If your portfolio is invested 40 percent each in A and B and 20 percent in C, what is the portfolio expected return? The variance? The standard deviation?

b. If the expected T-bill rate is 3.80 percent, what is the expected risk premium on the portfolio?




c. If the expected inflation rate is 3.50 percent, what are the approximate and exact expected real returns on the portfolio? What are the approximate and exact expected real risk premiums on the portfolio?

26. Based on the following information, calculate the expected return and standard deviation of each of the following stock. Assume each state of the economy is equally likely to happen. What are the covariance and correlation between the returns of the two stocks?

State of Economy Rate of Return on stock A Rate of Return on stock B Bear 0.082 -0.65 Normal 0.095 0.124 Bull 0.063 0.185

30. You have been provided the following data on the securities of three firms, the market portfolio, and the risk-free asset:

Security Average Return Std Dev Correlation Beta

Coefficient with Market

Firm A 0.10 0.27 (i) 0.85 Firm B 0.14 (ii) 0.50 1.50 Firm C 0.17 0.70 0.35 (iii) The market 0.12 0.20 (iv) (v) Risk Free Asset 0.05 (vi) (vii) (viii)

a. Fill in the missing values in the table.

b. Is the stock of Firm A correctly priced according to the capital-asset-pricing model (CAPM)? What about the stock of Firm B? Firm C? If these securities are not correctly portfolio?

31.CML

The market portfolio has an expected return of 12 percent and a standard deviation of 10 percent. The risk-free rate is 5 percent.

a. What is the expected return on a well-diversified portfolio with a standard

deviation of 7 percent?

b. What is the standard deviation of a well-diversified portfolio with an

expected return of 20 percent?

34. Consider the following information on Stocks I and II:

State of Probability of Rate of return if State Occurs economy State of Stock I Stock II

Economy

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