财务管理基础第二单元课后答案

2-1kˆ=(0.1)(-50%)+(0.2)(-5%)+(0.4)(16%)+(0.2)(25%)+(0.1)(60%)=11.40%.2=(-50%-11.40%)2(0.1)+(-5%-11.40%)2(0.2)+(16%-11.40%)2(0.4)+(25%-11.40%)2(0.2)+(60%-11.40%)2(0.1)2=712.44;=26.69%.CV=11.40%26.69%=2.34.2-2InvestmentBeta$35,0000.840,0001.4Total$75,000bp=($35,000/$75,000)(0.8)+($40,000/$75,000)(1.4)=1.12.2-3kRF=5%;RPM=6%;kM=?kM=5%+(6%)1=11%.kwhenb=1.2=?k=5%+6%(1.2)=12.2%.2-4kRF=6%;kM=13%;b=0.7;k=?k=kRF+(kM-kRF)b=6%+(13%-6%)0.7=10.9%.2-5a.k=11%;kRF=7%;RPM=4%.k=kRF+(kM–kRF)b11%=7%+4%b4%=4%bb=1.b.kRF=7%;RPM=6%;b=1.k=kRF+(kM–kRF)bk=7%+(6%)1k=13%.2-6a.n1iiikPkˆ.Ykˆ=0.1(-35%)+0.2(0%)+0.4(20%)+0.2(25%)+0.1(45%)=14%versus12%forX.b.=n1ii2iP)kˆk(.2Xσ=(-10%-12%)2(0.1)+(2%-12%)2(0.2)+(12%-12%)2(0.4)+(20%-12%)2(0.2)+(38%-12%)2(0.1)=148.8%.X=12.20%versus20.35%forY.CVX=X/kˆX=12.20%/12%=1.02,whileCVY=20.35%/14%=1.45.2-7a.ki=kRF+(kM-kRF)bi=9%+(14%-9%)1.3=15.5%.b.1.kRFincreasesto10%:kMincreasesby1percentagepoint,from14%to15%.ki=kRF+(kM-kRF)bi=10%+(15%-10%)1.3=16.5%.2.kRFdecreasesto8%:kMdecreasesby1%,from14%to13%.ki=kRF+(kM-kRF)bi=8%+(13%-8%)1.3=14.5%.c.1.kMincreasesto16%:ki=kRF+(kM-kRF)bi=9%+(16%-9%)1.3=18.1%.2.kMdecreasesto13%:ki=kRF+(kM-kRF)bi=9%+(13%-9%)1.3=14.2%.2-8Oldportfoliobeta=$150,000$142,500(b)+$150,000$7,500(1.00)1.12=0.95b+0.051.07=0.95b1.1263=b.Newportfoliobeta=0.95(1.1263)+0.05(1.75)=1.15751.16.AlternativeSolutions:1.Oldportfoliobeta=1.12=(0.05)b1+(0.05)b2+...+(0.05)b201.12=)b(i(0.05)ib=1.12/0.05=22.4.Newportfoliobeta=(22.4-1.0+1.75)(0.05)=1.15751.16.2.ibexcludingthestockwiththebetaequalto1.0is22.4-1.0=21.4,sothebetaoftheportfolioexcludingthisstockisb=21.4/19=1.1263.Thebetaofthenewportfoliois:1.1263(0.95)+1.75(0.05)=1.15751.16.2-9Portfoliobeta=$4,000,000$400,000(1.50)+$4,000,000$600,000(-0.50)+$4,000,000$1,000,000(1.25)+$4,000,000$2,000,000(0.75)bp=(0.1)(1.5)+(0.15)(-0.50)+(0.25)(1.25)+(0.5)(0.75)=0.15-0.075+0.3125+0.375=0.7625.kp=kRF+(kM-kRF)(bp)=6%+(14%-6%)(0.7625)=12.1%.Alternativesolution:First,calculatethereturnforeachstockusingtheCAPMequation[kRF+(kM-kRF)b],andthencalculatetheweightedaverageofthesereturns.kRF=6%and(kM-kRF)=8%.StockInvestmentBetak=kRF+(kM-kRF)bWeightA$400,0001.5018%0.10B600,000(0.50)20.15C1,000,0001.25160.25D2,000,0000.75120.50Total$4,000,0001.00kp=18%(0.10)+2%(0.15)+16%(0.25)+12%(0.50)=12.1%.2-10WeknowthatbR=1.50,bS=0.75,kM=13%,kRF=7%.ki=kRF+(kM-kRF)bi=7%+(13%-7%)bi.kR=7%+6%(1.50)=16.0%kS=7%+6%(0.75)=11.54.5%2-11Xkˆ=10%;bX=0.9;X=35%.Ykˆ=12.5%;bY=1.2;Y=25%.kRF=6%;RPM=5%.a.CVX=35%/10%=3.5.CVY=25%/12.5%=2.0.b.Fordiversifiedinvestorstherelevantriskismeasuredbybeta.Therefore,thestockwiththehigherbetaismorerisky.StockYhasthehigherbetasoitismoreriskythanStockX.c.kX=6%+5%(0.9)kX=10.5%.kY=6%+5%(1.2)kY=12%.d.kX=10.5%;Xkˆ=10%.kY=12%;Ykˆ=12.5%.StockYwouldbemostattractivetoadiversifiedinvestorsinceitsexpectedreturnof12.5%isgreaterthanitsrequiredreturnof12%.e.bp=($7,500/$10,000)0.9+($2,500/$10,000)1.2=0.6750+0.30=0.9750.kp=6%+5%(0.975)kp=10.875%.f.IfRPMincreasesfrom5%to6%,thestockwiththehighestbetawillhavethelargestincreaseinitsrequiredreturn.Therefore,StockYwillhavethegreatestincrease.Check:kX=6%+6%(0.9)=11.4%.Increase10.5%to11.4%.kY=6%+6%(1.2)=13.2%.Increase12%to13.2%.2-12kRF=k*+IP=2.5%+3.5%=6%.ks=6%+(6.5%)1.7=17.05%.2-13UsingStockX(oranystock):9%=kRF+(kM–kRF)bX9%=5.5%+(kM–kRF)0.8(kM–kRF)=4.375%.2-14Inequilibrium:kJ=Jkˆ=12.5%.kJ=kRF+(kM-kRF)b12.5%=4.5%+(10.5%-4.5%)bb=1.33.2-15bHRI=1.8;bLRI=0.6.Nochangesoccur.kRF=6%.Decreasesby1.5%to4.5%.kM=13%.Fallsto10.5%.NowSML:ki=kRF+(kM-kRF)bi.kHRI=4.5%+(10.5%-4.5%)1.8=4.5%+6%(1.8)=15.3%kLRI=4.5%+(10.5%-4.5%)0.6=4.5%+6%(0.6)=8.1%Difference7.2%2-16Anindexfundwillhaveabetaof1.0.IfkMis12.5percent(givenintheproblem)andtherisk-freerateis5percent,youcancalculatethemarketriskpremium(RPM)calculatedaskM-kRFasfollows:k=kRF+(RPM)b12.5%=5%+(RPM)1.07.5%=RPM.Now,youcanusetheRPM,thekRF,andthetwostocks’betastocalculatetheirrequiredreturns.Bradford:kB=kRF+(RPM)b=5%+(7.5%)1.45=5%+10.875%=15.875%.Farley:kF=kRF+(RPM)b=5%+(7.5%)0.85=5%+6.375%=11.375%.Thedifferenceintheirrequiredreturnsis:15.875%-11.375%=4.5%.2-17Step1:DeterminethemarketriskpremiumfromtheCAPM:0.12=0.0525+(kM-kRF)1.25(kM-kRF)=0.054.Step2:Calculatethebetaofthenewportfolio:Thebetaofthenewportfoliois($500,000/$5,500,000)(0.75)+($5,000,000/$5,500,000)(1.25)=1.2045.Step3:Calculatetherequiredreturnonthenewportfolio:Therequiredreturnonthenewportfoliois:5.25%+(5.4%)(1.2045)=11.75%.2-18Afteradditionalinvestmentsaremade,fortheentirefundtohaveanexpectedreturnof13%,theportfoliomusthaveabetaof1.5455asshownbelow:13%=4.5%+(5.5%)bb=1.5455.Sincethefund’sbetaisaweightedaverageofthebetasofalltheindividualinvestments,wecancalculatetherequiredbetaontheadditionalinvestmentasfollows:1.5455=0$25,000,0000)(1.5)($20,000,0+0$25,000,00X$5,000,0001.5455=1.2+0.2X0.3455=0.2XX=1.7275.2-19a.($1million)(0.5)+($0)(0.5)=$0.5million.b.Youwouldprobablytakethesure$0.5million.c.Riskaverter.d.1.($1.15million)(0.5)+($0)(0.5)=$575,000,oranexpectedprofitof$75,000.2.$75,000/$500,000=15%.3.Thisdependsontheindividual’sdegreeofriskaversion.4.Aga