Assume the following information concerning a two-stock portfolio:Stock XStock Y37%Percent of PortfolioAverage annual returnStandard deviation of returns10%6.08%Please calculate it10%19.56%Covariance of returns13.18Calculate the correlation coefficient of Stocks X and Stock Y.Round the answers to four decimal places.

The formula to calculate correlation coefficient isCorrelation coefficient=Covariance between stock…

Assume the following information concerning a two-stock portfolio: Stock X Stock Y Please calculate it Percent of Portfolio 10% 37% Average annual return Standard deviation of returns Covariance of returns 13.18 Calculate the correlation coefficient of Stocks X and Stock Y. Round the answers to four decimal places. 10% 6.08% 19.56%

Assume the following information concerning a two-stock portfolio: Stock X Stock Y Please calculate it Percent of Portfolio 10% 37% Average annual return Standard deviation of returns Covariance of returns 13.18 Calculate the correlation coefficient of Stocks X and Stock Y. Round the answers to four decimal places. 10% 6.08% 19.56%

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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Using the CAPM, estimate the appropriate required rate of return for the three stocks listed here, given that the risk-free rate is 6 percent and the expected return for the market is 14 percent. STOCK ВЕТА A 0.62 B 1.09 1.48 a. Using the CAPM, the required rate of return for stock A is %. (Round to two decimal places.) b. Using the CAPM, the required rate of return for stock B is %. (Round to two decimal places.) c. Using the CAPM, the required rate of return for stock C is %. (Round to two decimal places
A stock's returns have the following distribution: Probability Rate of Return 0.1 -25% -10% 10% 0.2 0.4 0.2 0.1 20% 30% Calculate the stock's a) expected return, b) standard deviation, and c) coefficient of variation. a) 6.50%; b) 2.50%; c)0.39 a) 5.00%; b) 15.89%; c)3.18 a)5.00%; b) 15.82%; c)2.43 a) 6.50%; b) 15.82%; c)2.43
Suppose that the average stock has a volatility of 53%, and that the correlation between pairs of stocks is 18%. Estimate the volatility of an equally weighted portfolio with: a. 1 stock b. 30 stocks c. 1,000 stocks
What is the expected return of Stock A given the information below about its returns across future states of nature? Enter return in decimal form, rounded to 4th digit, as in "0.1234
You are given the following information concerning a stock and the market Year 2017 2018 2019 2020 2021 2022 Returns Market 18% 11 12 -14 37 15 Correlation Beta a. Calculate the average return and standard deviation for the market and the stock. Note: Use Excel to complete the problem. Enter your answers as a percent rounded to 2 decimal places. Average return Standard deviation Stock 34% 27 3 -21 16 22 Market % Stock % % b. Calculate the correlation between the stock and the market, as well as the stock's beta. Note: Use Excel to complete the problem. Round your correlation answer to 2 decimal places and beta answer to 4 decimal places.
8. (Portfolio of two stocks) The following spreadsheet presents data for stocks A and B. A B C 1 2 RETURN STATISTICS OF STOCKS A AND B Stock A Stock B 3 Average return 15% 10% 4 Variance 0.12 0.07 5 Standard deviation 34.64% 26.46% 6 7 Covariance of return, Cov(AIB) 0.0160 0.1746 <=B7/(B5*C5) a. 8 Correlation of return What are the return and the standard deviation of a portfolio com- posed of 30% of stock A and 70% of stock B? b. What are the return and the standard deviation of an equally weighted portfolio of stocks A and B?
What is the expected return of Stock B given the information below about its returns across future states of nature? Enter return in decimal form, rounded to 4th digit, as in "0.1234"
What is Stock X's geometric returns if it has the following returns? Year 1 8% Year 2 - 5% Year 3 10% Year 4 - 6% Year 5 15% a. 4.1%. b. 5.2% c. 6.8% d. 8.5%
Given the following information, determine the beta coefficient for Stock L that is consistent with equilibrium: = 12.5%; rRF = 2.5%; rM = 9.5%. Round your answer to two decimal places.
Consider the three stocks in the following table. Pt represents price at time t, and Qt represents shares outstanding at time t. Stock C splits two-for-one in the last period. A B C Po 82 42 84 Rate of return 00 100 Divisor 200 200 P1 87 37 94 01 100 200 200 % P2 87 Required: a. Calculate the rate of return on a price-weighted index of the three stocks for the first period (t = 0 to t= 1). (Do not round intermediate calculations. Round your answer to 2 decimal places.) 370 47 92 100 200 400 b. What will be the divisor for the price-weighted index in year 2? (Do not round intermediate calculations. Round your answer to 2 decimal places.) c. Calculate the rate of return of the price-weighted index for the second period (t=1 to t=2).
Use the following information on Stocks X and Y to answer questions 1 through 3 (round to the nearest percent). Bear Market Normal Market Bull Market Probability 0.2 0.5 0.3 Stock X’s return -25% 10% 50% Stock Y’s return -15% 20% 10% What are the standard deviations of returns on Stocks X and Y?
Review the following market information: Current Stock Market Return 11.25% Current T-Bill Price $979.43 Historic T-Bill Average Return 2.80% Historic Stock Market Average Return 8.10% Stock Beta 1.23 What is the required return (rounded to two places)?

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