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1、2020博迪投资学答案chap009-7thed卓越CHAPTER 9: THE CAPITAL ASSET PRICING MODEL1.c.2.d.From CAPM, the fair expected return = 8 + 1.25(15 - 8) = 16.75%Actually expected return = 17%a = 17 - 16.75 = 0.25%3.Since the stocks beta is equal to 1.2, its expected rate of return is:6 + 1.2 (16 6) = 18%4.The series of $
2、1,000 payments is a perpetuity. If beta is 0.5, the cash flow should be discounted at the rate:6 + 0.5 (16 6) = 11%PV = $1,000/0.11 = $9,090.91If, however, beta is equal to 1, then the investment should yield 16%, and the price paid for the firm should be:PV = $1,000/0.16 = $6,250The difference, $2,
3、840.91, is the amount you will overpay if you erroneously assume that beta is 0.5 rather than 1.5.Using the SML: 4 = 6 + b(16 6) b = 2/10 = 0.26.a.7.E(rP) = rf + b P E(rM ) rf 18 = 6 + b P(14 6) b P = 12/8 = 1.58.a.False. b = 0 implies E(r) = rf , not zero.b. False. Investors require a risk premium
4、only for bearing systematic (undiversifiable or market) risk. Total volatility includes diversifiable risk.c. False. Your portfolio should be invested 75% in the market portfolio and 25% in T-bills. Then:bP = (0.75 1) + (0.25 0) = 0.759.Not possible. Portfolio A has a higher beta than Portfolio B, b
5、ut the expected return for Portfolio A is lower than the expected return for Portfolio B. Thus, these two portfolios cannot exist in equilibrium.10.Possible. If the CAPM is valid, the expected rate of return compensates only for systematic (market) risk, represented by beta, rather than for the stan
6、dard deviation, which includes nonsystematic risk. Thus, Portfolio As lower rate of return can be paired with a higher standard deviation, as long as As beta is less than Bs.11.Not possible. The reward-to-variability ratio for Portfolio A is better than that of the market. This scenario is impossibl
7、e according to the CAPM because the CAPM predicts that the market is the most efficient portfolio. Using the numbers supplied:Portfolio A provides a better risk-reward tradeoff than the market portfolio.12.Not possible. Portfolio A clearly dominates the market portfolio. Portfolio A has both a lower
8、 standard deviation and a higher expected return.13.Not possible. The SML for this scenario is: E(r) = 10 + b(18 10)Portfolios with beta equal to 1.5 have an expected return equal to:E(r) = 10 + 1.5 (18 10) = 22%The expected return for Portfolio A is 16%; that is, Portfolio A plots below the SML (a
9、A = 6%), and hence, is an overpriced portfolio. This is inconsistent with the CAPM.14.Not possible. The SML is the same as in Problem 13. Here, Portfolio As required return is: 10 + (0.9 8) = 17.2%This is greater than 16%. Portfolio A is overpriced with a negative alpha:a A = 1.2%15.Possible. The CM
10、L is the same as in Problem 11. Portfolio A plots below the CML, as any asset is expected to. This scenario is not inconsistent with the CAPM.16.If the securitys correlation coefficient with the market portfolio doubles (with all other variables such as variances unchanged), then beta, and therefore
11、 the risk premium, will also double. The current risk premium is: 14 6 = 8%The new risk premium would be 16%, and the new discount rate for the security would be: 16 + 6 = 22%If the stock pays a constant perpetual dividend, then we know from the original data that the dividend (D) must satisfy the e
12、quation for the present value of a perpetuity:Price = Dividend/Discount rate50 = D/0.14 D = 50 0.14 = $7.00At the new discount rate of 22%, the stock would be worth: $7/0.22 = $31.82The increase in stock risk has lowered its value by 36.36%.17.d.18.a.Since the market portfolio, by definition, has a
13、beta of 1, its expected rate of return is 12%.b. b = 0 means no systematic risk. Hence, the stocks expected rate of return in market equilibrium is the risk-free rate, 5%.c. Using the SML, the fair expected rate of return for a stock with b = 0.5 is:E(r) = 5 + (0.5)(12 5) = 1.5%The actually expected
14、 rate of return, using the expected price and dividend for next year is:E(r) = ($41 + $1)/40 1 = 0.10 = 10%Because the actually expected return exceeds the fair return, the stock is underpriced.19.a.E(rP) = rf + b P E(rM ) rf = 5% + 0.8 (15% 5%) = 13%a = 14% - 13% = 1%You should invest in this fund
15、because alpha is positive.b.The passive portfolio with the same beta as the fund should be invested 80% in the market-index portfolio and 20% in the money market account. For this portfolio:E(rP) = (0.8 15%) + (0.2 5%) = 13%14% 13% = 1% = a 20.d.You need to know the risk-free rate21.d.You need to know the risk-free rate22.a.Expected ReturnAlphaStock X5% + 0.8(14% - 5%) = 12.2%14.0% - 12.2% = 1.8%Stock Y5% + 1.5(14
