PRINCIPLES OF CORPORATE FINANCE
13th Edition
ISBN: 9781264052059
Author: BREALEY
Publisher: MCG
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Chapter 8, Problem 17PS
APT Consider a three-factor APT model. The factors and associated risk premiums are
Calculate expected
- a) A stock whose return is uncorrelated with all three factors.
- b) A stock with average exposure to each factor (i.e., with b = 1 for each).
- c) A pure-play energy stock with high exposure to the energy factor (b = 2) but zero exposure to the other two factors.
- d) An aluminum company stock with average sensitivity to changes in interest rates and GNP, but negative exposure of b = –1.5 to the energy factor. (The aluminum company is energy-intensive and suffers when energy prices rise.)
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Chapter 8 Solutions
PRINCIPLES OF CORPORATE FINANCE
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Ch. 8 - CAPM True or false? a. The CAPM implies that if...Ch. 8 - CAPM Suppose that the Treasury bill rate is 6%...Ch. 8 - CAPM The Treasury bill rate is 4%, and the...Ch. 8 - Cost of capital Epsilon Corp. is evaluating an...Ch. 8 - APT Consider a three-factor APT model. The factors...Ch. 8 - Prob. 18PSCh. 8 - APT Consider the following simplified APT model:...Ch. 8 - Prob. 20PSCh. 8 - Three-factor modelThe following table shows the...Ch. 8 - Efficient portfolios Look again at the set of the...
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