博迪投资学答案chap009-7thed
CHAPTER 9: THE CAPITAL ASSET PRICING MODEL
1. 2.
c. d.
From CAPM, the fair expected return = 8 + 1.25(15 ? 8) = 16.75% Actually expected return = 17% ? = 17 ? 16.75 = 0.25%
3.
Since the stock’s beta is equal to 1.2, its expected rate of return is:
6 + [1.2 ? (16 – 6)] = 18%
E(r)?D1?P1?P0 P00.18?6?P1?50?P1?$53 50 4.
The series of $1,000 payments is a perpetuity. If beta is 0.5, the cash flow should be discounted at the rate:
6 + [0.5 ? (16 – 6)] = 11% PV = $1,000/0.11 = $9,090.91
If, however, beta is equal to 1, then the investment should yield 16%, and the price paid for the firm should be:
PV = $1,000/0.16 = $6,250
The difference, $2,840.91, is the amount you will overpay if you erroneously assume that beta is 0.5 rather than 1.
Using the SML: 4 = 6 + ?(16 – 6) ? ? = –2/10 = –0.2 a.
E(rP) = rf + ? P [E(rM ) – rf ]
18 = 6 + ? P(14 – 6) ? ? P = 12/8 = 1.5
5. 6. 7.
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8.
a. False. ? = 0 implies E(r) = rf , not zero.
b. False. Investors require a risk premium only for bearing systematic
(undiversifiable or market) risk. Total volatility includes diversifiable risk.
c.
False. Your portfolio should be invested 75% in the market portfolio and 25% in T-bills. Then:
?P = (0.75 ? 1) + (0.25 ? 0) = 0.75
9.
Not possible. Portfolio A has a higher beta than Portfolio B, but the expected return for Portfolio A is lower than the expected return for Portfolio B. Thus, these two portfolios cannot exist in equilibrium.
10. Possible. If the CAPM is valid, the expected rate of return compensates only
for systematic (market) risk, represented by beta, rather than for the standard deviation, which includes nonsystematic risk. Thus, Portfolio A’s lower rate of return can be paired with a higher standard deviation, as long as A’s beta is less than B’s.
11. Not possible. The reward-to-variability ratio for Portfolio A is better than that
of the market. This scenario is impossible according to the CAPM because the CAPM predicts that the market is the most efficient portfolio. Using the numbers supplied:
SA?SM?16?10?0.5 1218?10?0.33 24Portfolio A provides a better risk-reward tradeoff than the market portfolio.
12. Not possible. Portfolio A clearly dominates the market portfolio. Portfolio A
has both a lower standard deviation and a higher expected return.
13. Not possible. The SML for this scenario is: E(r) = 10 + ?(18 – 10)
Portfolios with beta equal to 1.5 have an expected return equal to:
E(r) = 10 + [1.5 ? (18 – 10)] = 22%
The expected return for Portfolio A is 16%; that is, Portfolio A plots below
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博迪投资学答案chap009-7thed
