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1、公司理财习题答案第十一章Chapter 11: An Alternative View of Risk and Return: The Arbitrage Pricing Theory11.1Real GNP was higher than anticipated. Since returns are positively related to the level of GNP, returns should rise based on this factor.Inflation was exactly the amount anticipated. Since there was no su
2、rprise in this announcement, it will not affect Lewis-Striden returns.Interest Rates are lower than anticipated. Since returns are negatively related to interest rates, the lower than expected rate is good news. Returns should rise due to interest rates.The Presidents death is bad news. Although the
3、 president was expected to retire, his retirement would not be effective for six months. During that period he would still contribute to the firm. His untimely death mean that those contributions would not be made. Since he was generally considered an asset to the firm, his death will cause returns
4、to fall.The poor research results are also bad news. Since Lewis-Striden must continue to test the drug as early as expected. The delay will affect expected future earnings, and thus it will dampen returns now. The research breakthrough is positive news for Lewis Striden. Since it was unexpected, it
5、 will cause returns to rise.The competitors announcement is also unexpected, but it is not a welcome surprise. this announcement will lower the returns on Lewis-Striden.Systematic risk is risk that cannot be diversified away through formation of a portfolio. Generally, systematic risk factors are th
6、ose factors that affect a large number of firms in the market. Note those factors do not have to equally affect the firms. The systematic factors in the list are real GNP, inflation and interest rates.Unsystematic risk is the type of risk that can be diversified away through portfolio formation. Uns
7、ystematic risk factors are specific to the firm or industry.Surprises in these factors will affect the returns of the firm in which you are interested, but they will have no effect on the returns of firms in a different industry and perhaps little effect on other firms in the same industry. For Lewi
8、s-Striden, the unsystematic risk factors are the presidents ability to contribute to the firm, the research results and the competitor.11.2a.Systematic Risk = 0.042(4,480 4,416) 1.4(4.3% 3.1%) 0.67(11.8% 9.5%) = 0.53%b.Unsystematic Risk = 2.6%c.Total Return = 9.5% 0.53% 2.6% = 6.37%11.311.4a.Stock A
9、:Stock B:Stock C:b.c.i.ii.11.5a.Since five stocks have the same expected returns and the same betas, the portfolio also has the same expected return and beta.b.11.6To determine which investment investor would prefer, you must compute the variance of portfolios created by many stocks from either mark
10、et. Note, because you know that diversification is good, it is reasonable to assume that once an investor chose the market in which he or she will invest, he or she will buy many stocks in that market.Known: Assume: The weight of each stock is 1/N; that is, for all i.If a portfolio is composed of N
11、stocks each forming 1/N proportion of the portfolio, the return on the portfolio is 1/N times the sum of the returns on the N stocks. Recall that the return on each stock is 0.1+bF+e.a.Since Var, a risk averse investor will prefer to invest in the second market.b.CorrSince Varaverse investor will pr
12、efer to invest in the second market.c.Since , a risk averse investor will be indifferent between investing in the two market.d.Indifference implies that the variances of the portfolio in the two markets are equal.This is exactly the relationship used in part c.11.7ii.APT Model:APT Model shows that a
13、ssets A & B are accurately priced but asset C is overpriced. Thus, rational investors will not hold asset C.iii.If short selling is allowed, all rational investors will sell short asset C so that the price of asset C will decrease until no arbitrage opportunity exists. In other words, price of asset
14、 C should decrease until the return become 14.25%.11.8a. Let X= the proportion of security of one in the portfolio and (1-X) = the proportion of security two in the portfolio.The condition that the return of the portfolio does not depend onimplies:Thus, P=(-1,2); i.e. sell short security one and buy
15、 security two.b. Follow the same logic as in part a, we haveWhere X is the proportion of security three in the portfolio. Thus, sell short security four and buy security three.this is a risk free portfolio!c.The portfolio in part b provides a risk free return of 10% which is higher than the 5% return provided by the risk fr
