Consider the following annual closing prices of stock A, valuesof market index (S&P 500) and Treasury bills rate.12345678ABCDDate Stock A Prices (in $) Market Index Value Risk Free Rate (in %)Period 111212102Period 29510773120126809910487121114751281231890858710599141291177211099871211204210210613Period 3Period 4Period 5Period 6Period 79Period 810 Period 911 Period 1012 Period 1113 Period 121415What is the value of CAPM beta for stock A?1.451.241.361.41.671.411.691.721.241.081.521.71

The Capital Asset Pricing Model (CAPM) is a widely used financial model that establishes a…

Consider the following annual closing prices of stock A, value of market index (S&P 500) and Treasury bills rate. 123 1 A B C D Date Stock A Prices (in $) Market Index Value Risk Free Rate (in %) 112 95 120 99 121 128 90 105 129 110 121 102 Period 1 3 Period 2 4 Period 3 5 Period 4 6 Period 5 7 Period 6 8 Period 7 9 Period 8 10 Period 9 11 Period 10 12 Period 11 13 Period 12 14 15 12102 10773 12680 10487 11475 12318 8587 9914 11772 9987 12042 10613 1.45 1.24 1.36 1.4 1.67 1.41 1.69 1.72 1.24 1.08 1.52 1.71

Consider the following annual closing prices of stock A, value of market index (S&P 500) and Treasury bills rate. 123 1 A B C D Date Stock A Prices (in $) Market Index Value Risk Free Rate (in %) 112 95 120 99 121 128 90 105 129 110 121 102 Period 1 3 Period 2 4 Period 3 5 Period 4 6 Period 5 7 Period 6 8 Period 7 9 Period 8 10 Period 9 11 Period 10 12 Period 11 13 Period 12 14 15 12102 10773 12680 10487 11475 12318 8587 9914 11772 9987 12042 10613 1.45 1.24 1.36 1.4 1.67 1.41 1.69 1.72 1.24 1.08 1.52 1.71

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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Compute for the returns, average of returns and Standard Deviation:
Review the following market information: Current Stock Market Return 11.25% Current T-Bill Price $979.43 Historic T-Bill Average Return 2.80% Historic Stock Market Average Return 8.10% Stock Beta 1.23 What is the required return (rounded to two places)?
Consider the following annual closing prices of stock A, values of market index (S&P 500) and Treasury bills rate. A B C с D Date Stock A Prices (in $) Market Index Value Risk Free Rate (in %) 2 Period 1 119 3 Period 2 100 11829 11843 9639 88 131 12854 9580 11640 8469 11412 9115 10682 NOSAWNH 1 4 Period 3 Period 4 6 Period 5 7 Period 6 8 Period 7 9 Period 8 10 Period 9 11 Period 10 12 O 1.1 13 What is the value of CAPM beta for stock A? O 1.4666 O 1.8333 O2.0533 82 113 O 0.3666 65 109 95 113 1.48 1.76 1.64 1.2 1.43 1.36 1.3 1.72 1.71 1.77
Intro We know the following expected returns for stocks A and B, given different states of the economy: State (s) Probability E(rA.s) E(rB,s) -0.1 0.04 0.08 0.05 0.13 0.07 Recession 0.2 Normal 0.5 Expansion 0.3 Part 1 What is the expected return for stock A? 3+ decimals Submit
Compute for the Standard Deviation:
Consider the following information: Rate of return State of Economy Probability Stock A Stock B Recession 0.30 -40% 6% Normal 0.50 18% 4% Воom 0.20 142% 2% [Note: take full decimal places in the middle steps and round your FINAL answer to 2 decimal places (i.e. S1.23 or 1.23%)] (a) Calculate the expected return for the two Stocks A and B respectively. (in %) (b) Calculate the standard deviation for the two Stocks A and B respectively. (in %) (c) If you have $2 million to invest in a stock portfolio and your goal is to create a portfolio with an expected return of 16.92%, how much money will you invest in Stock A and Stock B respectively? (d) Based on your answer in part (c), calculate the standard deviation for the portfolio. (in %) (e) If enough stocks (i.e. 100 randomly selected stocks) had been included in the portfolio, what happen to the standard deviation for the portfolio? Explain. [within 100 words]
Stocks A and B have the following historical returns: 2017 2018 2019 2020 Year Stock A's Returns, "A Stock B's Returns, r 2016 (23.80%) 22.50 (17.70%) 24.50 ITT 14.25 (2.25) 25.00 24.00 (9.70) 14.60 % a. Calculate the average rate of return for each stock during the period 2016 through 2020. Round your answers to two decimal places. Stock A: Stock B: % b. Assume that someone held a portfolio consisting of 50% of Stock A and 50% of Stock B. What would the realized rate of return on the portfolio have been each year? Round your answers to two decimal places. Negative values should be Indicated by a minus sign. Year Portfolio 2016 % 2017 % 2018 % 2019 % 2020 % What would the average return on the portfolio have been during this period? Round your answer to two decimal places. % c. Calculate the standard deviation of returns for each stock and for the portfolio. Round your answers to two decimal places. Standard Deviation Stock A % Stock B % Portfolio % d. Calculate the coefficient of…
What is the expected return of the following portfolio? Stock Price Per Share Number of Shares Security Expected Return A $ 16 1509.01 B $ 13 175 10.53
Bhupatbhai
An index consists of the following securities. What is the value-weighted index return? Value-weighted Stock Shares Outstanding Beginning Share Price Ending Share Price L 4,000 $ 18 $ 26 M 3,000 $ 35 $ 41 Multiple Choice 22.03% 22.85% 25.25% 28.25% 30.00%
Suppose you have the following information from Muscat stock market Second day closing price Stock Share Base day outstanding Closing price Salalah company Dhofar power company | 26 Oman company 18 3 2.8 2.8 3.1 10 4.1 2.1 Dhofar bank 28 3 1.8 Calculate 1. Price weighted index 2. Value weighted index
Assume the stock's future prices of stock A and stock B as following distribution State Future Price Stock A Future price Stock B $10 $7 $8 $9 If the time 1 price of stock A is $6, and the time 1 price of stock B is $5. And C and C2 represents the time 1 price of ciaim on state 1, C, represents the time 1 prices of unit claims on states 1 and 2. Use the information about stock prices and payoffs to • Find the time 1 prices C, and C2. • Find the risk - free rate of return, obtained in this market

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