Consider the following annual closing prices of stock A, values of market index (S&P 500) and Treasury bills rate. B с D Stock A Prices (in $) Market Index Value Risk Free Rate (in %) 119 11829 100 11843 9639 88 131 82 113 65 109 95 113 1 Date 2 Period 1 3 Period 2 4 Period 3 5 Period 4 6 Period 5 7 Period 6 Period 7 8 9 Period 8 10 Period 9 11 Period 10 12 13 What is the value of CAPM beta for stock A? 12854 9580 11640 8469 11412 9115 10682 1.48 1.76 1.64 1.2 1.43 1.36 1.3 1.72 1.71 1.77
Consider the following annual closing prices of stock A, values of market index (S&P 500) and Treasury bills rate. B с D Stock A Prices (in $) Market Index Value Risk Free Rate (in %) 119 11829 100 11843 9639 88 131 82 113 65 109 95 113 1 Date 2 Period 1 3 Period 2 4 Period 3 5 Period 4 6 Period 5 7 Period 6 Period 7 8 9 Period 8 10 Period 9 11 Period 10 12 13 What is the value of CAPM beta for stock A? 12854 9580 11640 8469 11412 9115 10682 1.48 1.76 1.64 1.2 1.43 1.36 1.3 1.72 1.71 1.77
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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Risk and return
Before understanding the concept of Risk and Return in Financial Management, understanding the two-concept Risk and return individually is necessary.
Capital Asset Pricing Model
Capital asset pricing model, also known as CAPM, shows the relationship between the expected return of the investment and the market at risk. This concept is basically used particularly in the case of stocks or shares. It is also used across finance for pricing assets that have higher risk identity and for evaluating the expected returns for the assets given the risk of those assets and also the cost of capital.
Question
Transcribed Image Text: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
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