% Return on T-Bills, Stocks and Market Index State of the economy Probability T-Bills Phillips Pay -up Rubber-made Market Index Recession 0.2 7 -22 28 10 -13 Below Average 0.1 7 -2 14.7 -10 1 Average 0.3 7 20 0 7 15 Above Average 0.3 7 35 -10 45 29 Boom 0.1 7 50 -20 30 43 Mean 7 16.9 2.07 19.60 15 Standard Deviation 0 23.4 15.62 18.92 17.71 Coefficient of Variation 0 1.39 7.55 0.97 1.18 Covariance with MP 0 0.04 -0.3 0.02 0.03 Correlation with Market Index 0 1 -1.0 0.69 1 Beta 0 1.32 -0.88 0.74 1 CAPM Req. Return Valuation (Overvalued/Undervalued/Fairly valued) Fairly valued Overvalued Undervalued Undervalued Fairly valued Nature of stock Defensive Aggressive Defensive Defensive Defensive Showing all working complete the table showing CAP M req return
% Return on T-Bills, Stocks and Market Index State of the economy Probability T-Bills Phillips Pay -up Rubber-made Market Index Recession 0.2 7 -22 28 10 -13 Below Average 0.1 7 -2 14.7 -10 1 Average 0.3 7 20 0 7 15 Above Average 0.3 7 35 -10 45 29 Boom 0.1 7 50 -20 30 43 Mean 7 16.9 2.07 19.60 15 Standard Deviation 0 23.4 15.62 18.92 17.71 Coefficient of Variation 0 1.39 7.55 0.97 1.18 Covariance with MP 0 0.04 -0.3 0.02 0.03 Correlation with Market Index 0 1 -1.0 0.69 1 Beta 0 1.32 -0.88 0.74 1 CAPM Req. Return Valuation (Overvalued/Undervalued/Fairly valued) Fairly valued Overvalued Undervalued Undervalued Fairly valued Nature of stock Defensive Aggressive Defensive Defensive Defensive Showing all working complete the table showing CAP M req return
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
Related questions
Question
|
% Return on T-Bills, Stocks and Market Index |
||||||
|
State of the economy |
Probability |
T-Bills |
Phillips |
Pay -up |
Rubber-made |
Market Index |
|
Recession |
0.2 |
7 |
-22 |
28 |
10 |
-13 |
|
Below Average |
0.1 |
7 |
-2 |
14.7 |
-10 |
1 |
|
Average |
0.3 |
7 |
20 |
0 |
7 |
15 |
|
Above Average |
0.3 |
7 |
35 |
-10 |
45 |
29 |
|
Boom |
0.1 |
7 |
50 |
-20 |
30 |
43 |
|
Mean |
7 |
16.9 |
2.07 |
19.60 |
15 |
|
|
Standard Deviation |
0 |
23.4 |
15.62 |
18.92 |
17.71 |
|
|
Coefficient of Variation |
0 |
1.39 |
7.55 |
0.97 |
1.18 |
|
|
Covariance with MP |
0 |
0.04 |
-0.3 |
0.02 |
0.03 |
|
|
Correlation with Market Index |
0 |
1 |
-1.0 |
0.69 |
1 |
|
|
Beta |
0 |
1.32 |
-0.88 |
0.74 |
1 |
|
|
CAPM Req. Return |
||||||
|
Valuation (Overvalued/Undervalued/Fairly valued) |
Fairly valued |
Overvalued |
Undervalued |
Undervalued |
Fairly valued |
|
|
Nature of stock |
Defensive |
Aggressive |
Defensive |
Defensive |
Defensive |
Showing all working complete the table showing CAP M req return
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