(Related to Checkpoint 8.3) (CAPM and expected returns) a. Given the following holding period returns, compute the average returns and the standard deviations for the Sugita Corporation and for the market. b. If Sugita's beta is 1.36 and the risk-free rate is 6 percent, what would be an expected return for an investor owning Sugita? (Note: Because the preceding returns are based on monthly data, you will need to annualize the returns to make them comparable with the risk-free rate. For simplicity, you can convert from monthly to yearly returns by multiplying the average monthly returns by 12.) c. How does Sugita's historical average retum compare with the return you should expect based on the Capital Asset Pricing Model and the firm's systematic risk? a. Given the holding-period returns shown in the table, the average monthly return for the Sugita Corporation is % (Round to three decimal places) Data table Month Sugita Corp 22% 0.0 1.0 -1.0 7.0 7.0 (Click on the icon in order to copy its contents into a spreadsheet) 2 3 CED Print Done Market 1.2% 2.0 3.0 -1.0 7.0 0.0 X
(Related to Checkpoint 8.3) (CAPM and expected returns) a. Given the following holding period returns, compute the average returns and the standard deviations for the Sugita Corporation and for the market. b. If Sugita's beta is 1.36 and the risk-free rate is 6 percent, what would be an expected return for an investor owning Sugita? (Note: Because the preceding returns are based on monthly data, you will need to annualize the returns to make them comparable with the risk-free rate. For simplicity, you can convert from monthly to yearly returns by multiplying the average monthly returns by 12.) c. How does Sugita's historical average retum compare with the return you should expect based on the Capital Asset Pricing Model and the firm's systematic risk? a. Given the holding-period returns shown in the table, the average monthly return for the Sugita Corporation is % (Round to three decimal places) Data table Month Sugita Corp 22% 0.0 1.0 -1.0 7.0 7.0 (Click on the icon in order to copy its contents into a spreadsheet) 2 3 CED Print Done Market 1.2% 2.0 3.0 -1.0 7.0 0.0 X
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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Pls finance
Transcribed Image Text:(Related to Checkpoint 8.3) (CAPM and expected returns)
compute the average returns and the standard deviations for the Sugita Corporation and for the market.
a. Given the following holding-period returns,
b. If Sugita's beta is 1.36 and the risk-free rate is 6 percent, what would be an expected return for an investor owning Sugita? (Note: Because the preceding returns are based on monthly data, you
will need to annualize the returns to make them comparable with the risk-free rate. For simplicity, you can convert from monthly to yearly returns by multiplying the average monthly returns by 12.)
c. How does Sugita's historical average return compare with the return you should expect based on the Capital Asset Pricing Model and the firm's systematic risk?
a. Given the holding period returns shown in the table, the average monthly return for the Sugita Corporation is (Round to three decimal places)
Data table
Month
1
2
Sugita Corp.
22%
0.0
1.0
-1.0
7.0
7.0
(Click on the icon in order to copy its contents into a spreadsheet.)
3
4
5
CEED
Print
Done
Market
1,2%
20
3.0
-1.0
7.0
0.0
- X
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