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Chapter 9: Capital Market Theory: An Overview
9.1 9.2 9.3 9.4 9.5
a. b. c. d.
Capital gains = $38 - $37 = $1 per share
Total dollar returns = Dividends + Capital Gains = $1,000 + ($1*500) = $1,500
On a per share basis, this calculation is $2 + $1 = $3 per share On a per share basis, $3/$37 = 0.0811 = 8.11%
On a total dollar basis, $1,500/(500*$37) = 0.0811 = 8.11%
No, you do not need to sell the shares to include the capital gains in the computation of the returns. The capital gain is included whether or not you realize the gain. Since you could realize the gain if you choose, you should include it.
Purchase Price = $10,400/200 = $52.00 a. Total dollar return = $600 + 200($54.25 - $52) =$1,050 b. Capital gain = 200($54.25-52) = $450 c. Percentage Return = $1050/$10400 = 10.10% d. Dividend Yield = $600/(200*52) = 5.77%
?2.40??$31?$42??/42??$8.60/$42??0.2048??20.48%
The expected holding period return is:
?$5.50??$54.75?$52??/$52?0.15865?15.865%
You can find the nominal returns, I, on each of the securities in the text. The inflation
rate, ?, for the period is also in the text. It is 3.2%. The real return, r, is (1+I)/(1+?)-1. An approximation for the real rate is r = i - ?. Notice that the approximation is good when the nominal interest rate is close to the inflation rate.
a. Common Stocks b. L/T Corp. Bonds c. L/T Govt. Bonds d. U.S. T-Bills
Nominal 12.2% 5.7% 5.2% 3.7%
Real 8.7% 2.4% 1.9% 0.5%
Approximation 9.2% 2.5% 2.0% 0.5%
9.6 E(R) = T-Bill rate + Average Excess Return = 6.2% + (12.4% -3.9%) = 14.7% 9.7 Suppose the two companies’ stock price 2 years ago were P0
2 years ago 1 year ago Today
Koke P0 1.1P0 1.1*0.9*P0= 0.99P0
Pepsee P0 0.9P0
0.9*1.1*P0= 0.99 P0
Answers to End-of-Chapter Problems B-95
Both stocks have the same prices, but their prices are lower than 2 years ago.
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9.8 9.9
Five-year Holding Period Return = (1-0.0491)?(1+0.2141)?(1+0.2251)?(1+0.0627)?(1+0.3216)-1 = 98.64% Risk Premium = 6.1 - 3.8 = 2.3%
Expected Return on the market long term corporate bonds = 4.36% + 2.3% = 6.96%
9.10 a.R?
9.11
b. a. b.
?0.026?0.01?0.438?0.047?0.164?0.301?0.199?0.159
7R?R R (R?R)2
-0.026
-0.010 0.438 0.047 0.164 0.301 0.199
-0.185 -0.169 0.279 -0.112 0.005 0.142 0.040
0.03423 0.02856 0.07784 0.01254 0.00003 0.02016 0.00160
Total 0.17496
?2?0.17496/?7?1??0.02916??0.02916?0.1708?17.08%Note, because the data are historical data, the appropriate denominator in the calculation of the variance is N-1.
-7 -6 -5 -4 -3 -2 Last
Common Stocks 32.4% -4.9 21.4 22.5 6.3 32.2 18.5
Treasury Bills 11.2% 14.7 10.5 8.8 9.9 7.7 6.2
Realized Risk Premium
21.2% -19.6 10.9 13.7 -3.6 24.5 12.3
The average risk premium is 8.49%.
c.
21.2?19.6?10.9?13.7?3.6?24.5?12.3?8.49 7Yes, it is possible for the observed risk premium to be negative. This can happen
in any single year. The average risk premium over many years should be positive.
Answers to End-of-Chapter Problems B-97
9.12 a.
Prob. (P) 0.2 0.6 0.2 Return if State Occurs P?Return 0.05 0.010 0.08 0.048 0.15 0.030 Expected Return 0.088 = Economic State Recession Moderate Growth Rapid Expansion
b.
Return if State Occurs 0.05 0.08 0.15 9.13
a.
R?R -0.038 -0.008 0.062 (R?R)2 P?(R?R)2 0.001444 0.0002888 0.000064 0.0000384 0.003844 0.0007688 Variance = 0.0010960 Standard deviation = 0.001096?0.03311 Economic State Recession Moderate Growth Rapid Expansion Prob.(P) 0.3 0.4 0.3 Return if State occurs 0.02 0.05 0.10 Expected Return = P?Return 0.006 0.020 0.030 0.056 b.
Return if State occurs 0.02 0.05 0.10 R?R -0.036 -0.006 0.044
(R?R)2 P?(R?R)2 0.001296 0.0003888 0.000036 0.0000144 0.001936 0.0005808 Variance = 0.0009840
9.14
Standard deviation = 0.000984= 0.03137 = 3.137%
a. b.
Rm?0.12?0.23?0.40?0.18?0.25?0.15?0.15?0.09?0.08?0.03
?0.153 =15.3%
RT?0.12?0.12?0.40?0.09?0.25?0.05?0.15?0.01?0.08???0.02??0.0628 = 6.28%
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9.15 a.
Rp??0.04?0.06?0.09?0.04?/4?0.0575RQ??0.05?0.07?0.10?0.14?/4?0.09
b.
Rp?Rp
(R2p?Rp)
-0.0175 0.00031 -0.0025 0.00001 +0.0325 0.00106 -0.0175 0.00031 0.00169 Variance of Rp?000169./4?000042.
Standard Deviation of Rp?0.00042?0.02049
RQ?RQ?RQ?R2Q?
-0.04 0.0016 -0.02 0.0004 0.01 0.0001 0.05 0.0025 0.0046
Variance of RQ?0.0046/4?0.00115 Standard Deviation ofRQ?0.00115?0.03391
9.16 RS= Average Return on the Small Company Stocks.
Rm= Average Return on the Market Index. S2S = Variance in the Returns of the Small Company Stocks. SS = Standard Deviation in the Returns of the Small Company Stocks. S2m= Variance in the Returns of the Market Index.
Sm= Standard Deviation in the Returns of the Market Index.
a. RS= 0.477?0.339?0.350?0.0055?0.1542
Rm=0.402?0.648?0.580?0.328?0.0045?0.1604
Answers to End-of-Chapter Problems B-99
罗斯《公司理财》英文习题答案DOCchap009
