Self-Assessment HW5C (CAPM, Beta portfolio, Portfolio expected return)

3 pts Assume that you run a regression on the raw returns of the stock of Company J against the raw returns of the market and find an intercept of 1.324 percent and a beta of 1.50. If the risk-free rate is 2.64 percent, and using the concept of Jensen's Alpha, then determine by how much this stock beat the market. Answer in decimal format, to 4 decimal places. For example, if you answer is 3.33%, enter "0.0333".

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Back to Assignment Attempts 0 1. Problem 8.01 (Expected Return) eBook A stock's returns have the following distribution: Average 0 / 4 Standard deviation: Coefficient of variation: Sharpe ratio: 0.1 0.1 0.3 0.3 0.2 1.0 Assume the risk-free rate is 2%. Calculate the stock's expected return, standard deviation, coefficient of variation, and Sharpe ratio. Do not round intermediate calculations. Round your answers to two decimal places. Stock's expected return: % Problem Walk-Through % Demand for the Company's Products Probability of this Demand Occurring Weak Below average Average Above average Strong Rate of Return if this Demand Occurs (30%) (10) 18 37 63

Beta 0.53 Risk-free Rate 0.7% MRP 5.55% Given the data in the table, what is the stock's risk premium? Answer as a percent and use 2 decimal places.

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which one is correct? QUESTION 8 Exhibit 7.2 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)   You expect the risk-free rate (RFR) to be 3 percent and the market return to be 8 percent. You also have the following information about three stocks.   ​ ​ Current Expected Expected Stock Beta Price Price Dividend X 1.25 $20 $23 $1.25 Y 1.50 $27 $29 $0.25 Z 0.90 $35 $38 $1.00     Refer to Exhibit 7.2. What are the expected (required) rates of return for the three stocks (in the order X, Y, Z)?   a. 21.25 percent, 8.33 percent, 11.43 percent   b. 16.50 percent, 5.50 percent, 22.00 percent   c. 15.00 percent, 3.50 percent, 7.30 percent   d. 6.20 percent, 2.20 percent, 8.20 percent   e. 9.25 percent, 10.5 percent, 7.5 percent

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Expected Returns: Discrete Distribution The market and Stock J have the following probability distributions: Probability rM rJ 0.3 15% 20% 0.4 9 7 0.3 18 10 Calculate the expected rates of return for the market and Stock J. Round your answers to one decimal place. Expected rate of return (Market): % Expected rate of return (Stock J): % Calculate the standard deviations for the market and Stock J. Do not round intermediate calculations. Round your answers to two decimal places. Standard deviation (Market): % Standard deviation (Stock J): %

only  typed answer Stock A's stock has a beta of 1.30, and its required return is 15.25%. Stock B's beta is 0.80. If the risk-free rate is 4.75%, what is the required rate of return on B's stock? (Hint: First find the market risk premium.)   Select the correct answer.   a. 11.15%  b. 11.18%  c. 11.21%  d. 11.24%  e. 11.27%

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Question: You are an investment advisor. You currently own two stocks, A and B, with the following characteristics:   Expected Return Beta X 10% 0.8 Y 16% 1.5 The current risk-free rate is 2 percent, and the expected return on the market is 12 percent. How would you change your holdings of the two stocks (i.e., for each, would you sell or buy more)? Show your calculations (and explain). Stock A:     Stock B: