Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are w = 0.000006, a = 0.09, and B= 0.90. If the MILLY 100 moves by 75 points by close of trading today, what will the new volatility estimate be, per day, if the move is an increase or a decrease? Increase Decrease a. 1.0286% b. 7.5996% c. 9.0144% d. 1.0286% e. 0.8544% 1.0653% 7.6060% 7.9225% 1.4273% 0.9099%

Assume that the MILLY100 Index at close of trading yesterday was 7,300 and the daily volatility of the index was estimated as 0.8% per day at that time. The parameters in a GJR GARCH model are w = 0.000006, a = 0.09, and B= 0.90. If the MILLY 100 moves by 75 points by close of trading today, what will the new volatility estimate be, per day, if the move is an increase or a decrease? Increase Decrease a. 1.0286% b. 7.5996% c. 9.0144% d. 1.0286% e. 0.8544% 1.0653% 7.6060% 7.9225% 1.4273% 0.9099%

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Calculate the required rate of return for Mudd Enterprises assuming that investors expect a 3.4% rate of inflation in the future. The real risk-free rate is 2.0%, and the market risk premium is 6.0%. Mudd has a beta of 1.5, and its realized rate of return has averaged 9.0% over the past 5 years. Round your answer to two decimal places.
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Suppose that the rate of return on the market portfolio is 8% and the risk-free rate is 1%. Con- sider a stock with B = 1.3. The firm is expected to have no earnings in the first year (E1 = 0), and then $10 earnings-per-share in the second year (E2 = 10). After that, earnings are expected to grow at a constant annual rate of 8%. The retention ratio is 80% in all periods.
Suppose that the rate of return on the market portfolio is 8% and the risk-free rate is 1%. Con- sider a stock with B = 1.3. The firm is expected to have no earnings in the first year (E1 = 0), and then $10 earnings-per-share in the second year (E2 = 10). After that, earnings are expected to grow at a constant annual rate of 8%. The retention ratio is 80% in all periods. Round-up all your answers to 2 decimal places. А. Find the fundamental value of the stock today (t = 0). В. Suppose the company decided to pay out 40% of its earnings as dividends. What would be the fundamental value of the stock today (t = 0)?
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Calculate the required rate of return for Mudd Enterprises assuming that investors expect a 3.4% rate of inflation in the future. The real risk - free rate is 2.0%, and the market risk premium is 8.0%. Mudd has a beta of 1.7, and its realized rate of return has averaged 15.0% over the past 5 years. Round your answer to two decimal places.
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Calculate the required rate of return for Best Inc., assuming that (1) investors expect a 1.5% rate of inflation in the future, (2) the real risk-free rate is 3.0%, (3) the market risk premium is 3.0%, (4) the firm has a beta of 1.2, and (5) its realized rate of return has averaged 10.0% over the last 5 years.
Show the monthly return of the company and S&P 500 in the same graph. What is your interruption interpretation of the change of return of the company comparing with the market index? Calculate the monthly standard deviation and return for both the company and S&P 500. What is your interruption of the risk and return of the company comparing with the market index? S&P 500 last 6 months : Date Open High Low Close* Adj. close** Volume 01 Apr 2022 4,540.32 4,593.45 4,381.34 4,392.59 4,392.59 37,024,560,000 01 Mar 2022 4,363.14 4,637.30 4,157.87 4,530.41 4,530.41 100,978,320,000 01 Feb 2022 4,519.57 4,595.31 4,114.65 4,373.94 4,373.94 73,167,790,000 01 Jan 2022 4,778.14 4,818.62 4,222.62 4,515.55 4,515.55 73,279,440,000 01 Dec 2021 4,602.82 4,808.93 4,495.12 4,766.18 4,766.18 68,699,830,000…
Calculate the required rate of return for Williams Inc., assuming that (1) investors expect a 2.0% rate of inflation in the future, (2) the real risk-free rate is 3.0%, (3) the market risk premium is 4.0%, (4) the firm has a beta of 1.00, and (5) its realized rate of return has averaged 15.0% over the last 5 years. O 10.29% O 7.00% 09.0 O 12.00%

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