Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Historical Annual Volatilities and Correlations for Selected Stocks (based on monthly returns, 1996-2017) Southwest Ford General Microsoft НР Alaska Air Airlines Motor Kellogg Mills Volatility (Standard Deviation) 32% 36% 36% 31% 47% 19% 17% Correlation with Microsoft 1.00 0.40 0.18 0.22 0.27 0.04 0.10 HP Inc. 0.40 1.00 0.28 0.34 0.27 0.10 0.06 Alaska Air 0.18 0.28 1.00 0.40 0.15 0.15 0.20 Southwest Airlines 0.22 0.34 0.40 1.00 0.30 0.15 0.21 Print Done

Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Historical Annual Volatilities and Correlations for Selected Stocks (based on monthly returns, 1996-2017) Southwest Ford General Microsoft НР Alaska Air Airlines Motor Kellogg Mills Volatility (Standard Deviation) 32% 36% 36% 31% 47% 19% 17% Correlation with Microsoft 1.00 0.40 0.18 0.22 0.27 0.04 0.10 HP Inc. 0.40 1.00 0.28 0.34 0.27 0.10 0.06 Alaska Air 0.18 0.28 1.00 0.40 0.15 0.15 0.20 Southwest Airlines 0.22 0.34 0.40 1.00 0.30 0.15 0.21 Print Done

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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Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 3.2% + 1.10RM + eA RB = -1.4 % + 1.25RM + eB OM= 30%; R-squareд = 0.28; R-squareg = 0.12 What is the covariance between each stock and the market index? Note: Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Do not round your intermediate calculations. Round your answers to nearest whole number. Answer is complete but not entirely correct. Stock A Stock B Covariance 93 x 101 x
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. Stock P0 Q0 P1 Q1 P2 Q2 A 70 475 75 475 75 475 B 45 850 40 850 40 850 C 50 300 60 300 30 600 a. 0.00% b. 2.49% c. 6.06% d. 8.95% e. 1.30%
For the next question, consider the two stocks, A and B, in the following table. Pt represents price at time t, and Qt represents shares outstanding at time t. P0 Q0 P1 Q1 A 50 100 45 100 B 30 200 34 200 Calculate the rate of return on a price-weighted index of the two stocks for between t = 0 and t = 1. Assume the divisor value is 2. Enter your answer as a decimal, rounded to four decimal places (e.g, 0.0123).
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.6% + 1.2RM + eA RB = -1.6% + 1.5RM + eB OM = 16%; R-squarea = 0.25; R-square; = 0.15 What is the covariance between each stock and the market index? (Calculate using numbers in decimal form, not percentages. Do not round your intermediate calculations. Round your answers to 3 decimal places.) Covariance Stock A Stock B
Consider the three stocks in the following table. Pt represents price at time t, and ot represents shares outstanding at time t. Stock C splits two-for-one in the last period. A B C Po 87 47 94 Rate of return 20 100 200 200 Divisor P1 92 42 104 21 100 % 200 200 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.) P2 92 42 52 22 100 200 400 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.)
Consider the three stocks in the following table. P, represents the price at time t, and Q, represents the total shares outstanding at time t. Calculate the rate of return on a price-weighted index of three stocks for the first period (t=0 to t=1). Table 2: Data for Q4 & Q5 Q0 P1 Q1 PO 100 50 105 50 A B 200 100 210 100 C 300 100 250 100
Using the data in the chart, calculate the first-period rates of return on the following indexes of the three stocks: A market-value-weighted index. An equally weighted index. stocks P0 Q0 P1 Q1 P2 Q2 A 90 100 95 100 95 100 B 50 200 45 200 45 200 C 100 200 110 200 55 400 (Pt represents price at time t, and Qt represents shares outstanding at time t.)
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 Pe 86 46 92 Rate of return Divisor Q0 100 200 200 P1 91 41 102 Rate of return 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.) 4.14 % 91 100 200 200 P2 91 41 51 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.) 2% 92 100 200 400 c. Calculate the rate of return of the price-weighted index for the second period (t=1 to t = 2).
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 2.0%+ 0.40RM + eA RB = -1.8% + 0.9RM + eB OM 15%; R-squareд = 0.30; R-square= 0.22 = What is the standard deviation of each stock? Note: Do not round intermediate calculations. Round your answers to 2 decimal places. Stock A Stock B Standard Deviation % %
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. PO 00 P1 01 P2 02 A 82 100 87 100 87 100 B 42 200 37 200 37 200 C 84 200 94 200 47 400 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 % 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.) Divisor c. Calculate the rate of return of the price-weighted index for the second period (t = 1 to t = 2).
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.2% + 1.10RM + eA RB = –1.4% + 1.2RM + eB σM = 30%; R-squareA = 0.28; R-squareB = 0.12 What is the standard deviation of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
Consider the three stocks in the following table. P+ represents price at time t, and ot represents shares outstanding at time t. Stock C splits two-for-one in the last period. A B с Po 83 43 86 Rate of return Divisor lo 100 200 200 Rate of return L P1 88 38 96 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.) 2.35 4.71% …….... 01 100 200 200 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.) P₂ 88 38 48 % 2₂ 100 200 400 c. Calculate the rate of return of the price-weighted index for the second period (t = 1 to t=2).

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