Heferences5 You have the following information about the returns for the securities of Super Luxplc and the returns for the market:TimeReturn of Super Lux (%)Return of the market (%)18102111t3208.2512142614Given that the rate of return on Treasury bills is 8 per cent and that the correlationcoefficient betrween the security and the market is +0.83, calculate the required rate ofreturn on Super Lux's shares using the CAPM.

The capital asset pricing model is the model which shows the relationship between the systematic…

You have the following information about the returns for the securities of Super Lux plc and the returns for the market: 5 Time Return of Super Lux (%) Return of the market (%) 18 10 21 11 t3 20 t4 25 12 26 14 ts Given that the rate of return on Treasury bills is 8 per cent and that the correlation coefficient between the security and the marker is +0.83, calculate the required rate of return on Super Luxs shares using rhe CAPM

You have the following information about the returns for the securities of Super Lux plc and the returns for the market: 5 Time Return of Super Lux (%) Return of the market (%) 18 10 21 11 t3 20 t4 25 12 26 14 ts Given that the rate of return on Treasury bills is 8 per cent and that the correlation coefficient between the security and the marker is +0.83, calculate the required rate of return on Super Luxs shares using rhe CAPM

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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In an economy where the risk-free interest rate is 19% and the expected return of the market is 25%, the beta coefficients of A, B, C and D stocks and the expected returns announced by the companies are as follows. According to the Financial (Capital) Assets Pricing Model c) Calculate the expected return rates of the shares.d) Determine which stocks can be invested by comparing the expected return announced by the company with the expected return you calculated.
The covariance between the returns on Zion shares and the returns on the ASX200 market index is 0.0112. The standard deviation of the returns on ASX200 is 14%. The standard deviation of the returns on Zion shares is 10%. What is the beta of Zion shares? Group of answer choices0.57 0.16 0.55 0.08 1.12
Consider the three stocks in the following table. Pt represents price at time t, Qt represents shares outstanding at time t. Stock C splits two for one in the second period from t=1 to t=2. Calculate the rate of return on a price-weighted index consisting of the three stocks for the first period from t=0 to t=1. Answer in percentage. Answer options: 0.00% 2.49% 6.06% 8.95% 1.30%
a. Calculate the change in retur Security A's change in return w Data table (Click on the icon here in order to copy its contents of the data table below into a spreadsheet.) Security A BC Print Beta 1.63 0.62 -0.24 ---n Done X iod.
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 00 100 200 200 Divisor P1 87 37 94 01 100 200 200 P2 87 37 47 92 100 200 400 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.) Rate of return I % 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.) D c. Calculate the rate of return of the price-weighted index for the second period (t=1 to t = 2).
Suppose you are given the following information about 2 stocks, what is the Sharpe Ratio of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 rf=3% Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
Suppose you are given the following information about 2 stocks, what is the expected return of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
An investor has conducted research on two individual stocks, high-risk (H) and low-risk (L), and the market with the following characteristics: Regarding risk-free rate, the lending rate is 2% and the borrowing rate is 5%. The investor can borrow a maximum of £50,000. He also assumes that non-market movements between stocks H and L are uncorrelated. a) Using the CAPM and the lending rate, calculate the alphas for stocks H and L. Indicate which stocks are over-/under- or correctly priced b) Construct an arbitrage portfolio by first leveraging stock L to match the beta of stock H. Calculate the return difference between the long and short portfolios. (Note: Leveraging means using margin purchase.)
Give the return of the stock in which you would most likely invest and show the preferred order of the stocks if you were considering further investment, all other things being equal. Stock Beta Risk-Free Market-Rate CA-K 0.95 5.5% 9% AU-L 1.05 6% 8.5% TT-M 1.10 5% 8%
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Compute the portfolio risk if stock A and Stock B are combined in a portfolio in the ratio 6:4 respectively.
below is information of probabilities and expected returns for 2 securities under 3 possible scenarios. possible outcomes are bullish trend, normal trend and bearish trend. probability for bullish is 0.3, normal 0.4 and bearish 0.3. rate of return for company g bullish is 50% normal 20% and bearish (10)%. company h rate of return for bullish is 25%, normal 15% and bearish 15%. on the basis of expected rate of return, standard deviation, variance and coefficient of variance decide which of the above companies is best for investment (single company risk analysis)

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