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) ERstock = 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) ERstock = 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) ERstock = Rf + ( ERM - Rf ) Betastock 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:
| Expected Return | Recommendation |
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) = RF + β[E(Rm) – RF] = 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 | 
发表于 2008-4-14 17:29
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