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标题: Reading 53: Portfolio Risk and Return: Part II-LOS g 习题精选 [打印本页]
作者: 1215    时间: 2011-3-24 16:03     标题: [2011]Session 12-Reading 53: Portfolio Risk and Return: Part II-LOS g 习题精选

Session 12: Portfolio Management
Reading 53: Portfolio Risk and Return: Part II

LOS g: Calculate and interpret the expected return of an asset using the CAPM.

 

 

The beta of stock D is -0.5. If the expected return of Stock D is 8%, and the risk-free rate of return is 5%, what is the expected return of the market?

A)
 +3.0%.
B)
 -1.0%.
C)
 +3.5%.

 

RRStock = Rf + (RMarket ? Rf) × BetaStock, where RR = required return, R = return, and Rf = risk-free rate

A bit of algebraic manipulation results in:

RMarket = [RRStock ? Rf ? (BetaStock × Rf)] / BetaStock = [8 ? 5 ? (-0.5 × 5)] / -0.5 = 0.5 / -0.5 = -1%

作者: 1215    时间: 2011-3-24 16:03

Given a beta of 1.25 and a risk-free rate of 6%, what is the expected rate of return assuming a 12% market return?

A)
 10%.
B)
 13.5%.
C)
 31%.

k = 6 + 1.25 (12 ? 6)

= 6 + 1.25(6)

= 6 + 7.5

= 13.5

作者: 1215    时间: 2011-3-24 16:03

The expected market premium is 8%, with the risk-free rate at 7%. What is the expected rate of return on a stock with a beta of 1.3?

A)
 16.3%.
B)
 10.4%.
C)
 17.4%.

RRStock = Rf + (RMarket ? Rf) × BetaStock, where RR = required return, R = return, and Rf = risk-free rate, and (RMarket ? Rf) = market premium
Here, RRStock = 7 + (8 × 1.3) = 7 + 10.4 = 17.4%.

作者: 1215    时间: 2011-3-24 16:03

If the risk-free rate of return is 3.5%, the expected market return is 9.5%, and the beta of a stock is 1.3, what is the required return on the stock?

A)
 7.8%.
B)
 11.3%.
C)
 12.4%.

The formula for the required return is: ERstock = Rf + (ERM – Rf) × Betastock,
or 0.035 + (0.095 – 0.035) × 1.3 = 0.113, or 11.3%.

作者: 1215    时间: 2011-3-24 16:03

Given a beta of 1.10 and a risk-free rate of 5%, what is the expected rate of return assuming a 10% market return?

A)
 15.5%.
B)
 5.5%.
C)
 10.5%.

k = 5 + 1.10 (10 - 5) = 10.5

作者: 1215    时间: 2011-3-24 16:04

What is the required rate of return for a stock with a beta of 1.2, when the risk-free rate is 6% and the market is offering 12%?

A)
 7.2%.
B)
 6.0%.
C)
 13.2%.

RRStock = Rf + (RMarket - Rf) × BetaStock, where RR= required return, R = return, and Rf = risk-free rate. 

Here, RRStock = 6 + (12 - 6) × 1.2 = 6 + 7.2 = 13.2%.

作者: 1215    时间: 2011-3-24 16:04

The beta of Stock A is 1.3. If the expected return of the market is 12%, and the risk-free rate of return is 6%, what is the expected return of Stock A?

A)
 13.8%.
B)
 14.2%.
C)
 15.6%.

RRStock = Rf + (RMarket - Rf) × BetaStock, where RR= required return, R = return, and Rf = risk-free rate

Here, RRStock = 6 + (12 - 6) × 1.3  = 6 + 7.8 = 13.8%.

作者: 1215    时间: 2011-3-24 16:04

What is the expected rate of return on a stock that has a beta of 1.4 if the market risk premium is 9% and the risk-free rate is 4%?

A)
 16.6%.
B)
 13.0%.
C)
 11.0%.

Using the security market line (SML) equation:

4% + 1.4(9%) = 16.6%.

作者: 1215    时间: 2011-3-24 16:05

 

Given the following information, what is the required rate of return on Bin Co?

A)
 7.6%.
B)
 16.7%.
C)
 10.2%.

Use the capital asset pricing model (CAPM) to find the required rate of return. The approximate risk-free rate of interest is 5% (2% real risk-free rate + 3% inflation premium).

k = 5% + 1.3(4%) = 10.2%.

作者: 1215    时间: 2011-3-24 16:05

Given a beta of 1.55 and a risk-ree rate of 8%, what is the expected rate of return, assuming a 14% market return?

A)
 12.4%.
B)
 17.3%.
C)
 20.4%.

k = 8 + 1.55(14-8)
= 8 + 1.55(6)
= 8 + 9.3
= 17.3





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