标题: Reading 53: Portfolio Risk and Return: Part II-LOS e 习题精选 [打印本页]
作者: 1215 时间: 2011-3-24 15:59 标题: [2011]Session 12-Reading 53: Portfolio Risk and Return: Part II-LOS e 习题精选
Session 12: Portfolio Management
Reading 53: Portfolio Risk and Return: Part II
LOS e: Calculate and interpret beta.
The expected rate of return is 1.5 times the 16% expected rate of return from the market. What is the beta if the risk free rate is 8%?
24 = 8 + β (16 ? 8)
24 = 8 + 8β
16 = 8β
16 / 8 = β
β = 2
作者: 1215 时间: 2011-3-24 15:59
The expected rate of return is twice the 12% expected rate of return from the market. What is the beta if the risk-free rate is 6%?
24 = 6 + β (12 ? 6)
18 = 6β
β = 3
作者: 1215 时间: 2011-3-24 15:59
Given the following data, what is the correlation coefficient between the two stocks and the Beta of stock A?
- standard deviation of returns of Stock A is 10.04%
- standard deviation of returns of Stock B is 2.05%
- standard deviation of the market is 3.01%
- covariance between the two stocks is 0.00109
- covariance between the market and stock A is 0.002
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Correlation Coefficient |
Beta (stock A) |
correlation coefficient = 0.00109 / (0.0205)(0.1004) = 0.5296.
beta of stock A = covariance between stock and the market / variance of the market
Beta = 0.002 / 0.03012 = 2.2
作者: 1215 时间: 2011-3-24 16:00
Beta is a measure of:
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|
C) |
company-specific risk. | |
Beta is a measure of systematic risk.
作者: 1215 时间: 2011-3-24 16:00
Beta is least accurately described as:
A) |
a standardized measure of the total risk of a security. | |
B) |
a measure of the sensitivity of a security’s return to the market return. | |
C) |
the covariance of a security’s returns with the market return, divided by the variance of market returns. | |
Beta is a standardized measure of the systematic risk of a security. β = Covr,mkt / σ2mkt. Beta is multiplied by the market risk premium in the CAPM: E(Ri) = RFR + β[E(Rmkt) – RFR].
作者: 1215 时间: 2011-3-24 16:00
An analyst has developed the following data for two companies, PNS Manufacturing (PNS) and InCharge Travel (InCharge). PNS has an expected return of 15% and a standard deviation of 18%. InCharge has an expected return of 11% and a standard deviation of 17%. PNS’s correlation with the market is 75%, while InCharge’s correlation with the market is 85%. If the market standard deviation is 22%, which of the following are the betas for PNS and InCharge?
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Beta of PNS |
Beta of InCharge |
Betai = (si/sM) × rI, M
BetaPNS = (0.18/0.22) × 0.75 = 0.6136
BetaInCharge = (0.17/0.22) × 0.85 = 0.6568
作者: 1215 时间: 2011-3-24 16:00
If the standard deviation of the market’s returns is 5.8%, the standard deviation of a stock’s returns is 8.2%, and the covariance of the market’s returns with the stock’s returns is 0.003, what is the beta of the stock?
The formula for beta is: (Covstock,market)/(Varmarket), or (0.003)/(0.058)2 = 0.89.
作者: 1215 时间: 2011-3-24 16:01
Which of the following statements about a stock's beta is CORRECT? A beta greater than one is:
A) |
riskier than the market, while a beta less than one is less risky than the market. | |
B) |
risky, while a beta less than one is risk-free. | |
C) |
undervalued, while a beta less than one is overvalued. | |
Beta is a measure of the volatility of a stock. The overall market's beta is one. A stock with higher systematic risk than the market will have a beta greater than one, while a stock that has a lower systematic risk will have a beta less than one.
作者: 1215 时间: 2011-3-24 16:01
The expected rate of return is 2.5 times the 12% expected rate of return from the market. What is the beta if the risk-free rate is 6%?
30 = 6 + β (12 - 6)
24 = 6β
β = 4
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