16．What is the expected rate of return for a stock that has a beta of 1.2 if the risk-free rate is 6 percent and the expected return on the market is 12 percent?

A)   13.2%.

B)   7.2%.

C)   12.0%.

D)   16.8%.

17．What is the expected rate of return for a stock that has a beta of 0.8 if the risk-free rate is 5 percent, and the market risk premium is 7 percent?

A)   10.6%.

B)   8.0%.

C)   12.4%.

D)   6.6%.

18．The market is expected to return 15 percent next year and the risk-free rate is 7 percent. What is the expected rate of return on a stock with a beta of 1.3?

A)   10.4.

B)   16.3.

C)   17.1.

D)   17.4.

19．Raj Shankar is a security analyst who uses the capital asset pricing model (CAPM) to determine the fair valuation for stocks. Recently, Shankar examined the prospects for Mini Software Solutions (MSS), a small software company operating in Southern California. Shankar makes the following forecasts for MSS and for the broad market: 

§
   Shankar’s forecasted return for MSS -  11%

§
   Shankar’s forecasted beta for MSS -  1.25

§
   Expected return on the stock market index -  12%

§
   Risk-free rate -  4%

Using his framework of analysis, Shankar should derive the following expected return and buy/sell recommendation for MSS:

A)             14%                                     Sell

B)             10%                                        Sell

C)             14%                                        Buy

D)             10%                                        Buy

20．What is the beta of Franklin stock if the current risk-free rate is 6 percent, the expected risk premium on the market portfolio is 9 percent, and the expected rate of return on Franklin is 17.7 percent?

A)   2.5.

B)   1.3.

C)   2.8.

D)   3.9.

[此贴子已经被作者于2008-4-18 15:34:22编辑过]

16．What is the expected rate of return for a stock that has a beta of 1.2 if the risk-free rate is 6 percent and the expected return on the market is 12 percent?

A)   13.2%.

B)   7.2%.

C)   12.0%.

D)   16.8%.

The correct answer was A)     

ER_stock = 0.06 + 1.2(0.12-0.06) = 13.2%

17．What is the expected rate of return for a stock that has a beta of 0.8 if the risk-free rate is 5 percent, and the market risk premium is 7 percent?

A)   10.6%.

B)   8.0%.

C)   12.4%.

D)   6.6%.

The correct answer was A)

ER_stock = 0.05 + 0.8(0.07) = 10.6%

18．The market is expected to return 15 percent next year and the risk-free rate is 7 percent. What is the expected rate of return on a stock with a beta of 1.3?

A)   10.4.

B)   16.3.

C)   17.1.

D)   17.4.

The correct answer was D)

ER_stock = R_f + ( ER_M - R_f ) Beta_stock

19．Raj Shankar is a security analyst who uses the capital asset pricing model (CAPM) to determine the fair valuation for stocks. Recently, Shankar examined the prospects for Mini Software Solutions (MSS), a small software company operating in Southern California. Shankar makes the following forecasts for MSS and for the broad market: 

§ Shankar’s forecasted return for MSS -  11%

§ Shankar’s forecasted beta for MSS -  1.25

§ Expected return on the stock market index -  12%

§ Risk-free rate -  4%

Using his framework of analysis, Shankar should derive the following expected return and buy/sell recommendation for MSS:

A)             14%                                     Sell

B)             10%                                        Sell

C)             14%                                        Buy

D)             10%                                        Buy

The correct answer was A)

The equation for the (CAPM) is:

E(R) = R_F + β[E(R_m) – R_F] = 0.04 + 1.25[0.12 – 0.04] = 0.14 = 14%.

Shankar’s forecasted (11 percent) is less than the equilibrium expected (or required) return for MSS. Therefore, Shankar should make a sell recommendation on the stock.

20．What is the beta of Franklin stock if the current risk-free rate is 6 percent, the expected risk premium on the market portfolio is 9 percent, and the expected rate of return on Franklin is 17.7 percent?

A)   2.5.

B)   1.3.

C)   2.8.

D)   3.9.

The correct answer was B)

Using the Capital Asset Pricing Model:

6% + beta (9%) = 17.7%

beta = 1.3