高级财管考点总结.docx
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高级财管考点总结
高级财管考点总结
计算题（50分）
10.1a.ExpectedReturn=（0.1）（-0.045）+（.2）（0.044）+（0.5）（0.12）+（0.2）（0.207）
=0.1057
=10.57%
TheexpectedreturnonQ-mart’sstockis10.57%.
b.Variance（σ2）=（0.1）（-0.045–0.1057）2+（0.2）（0.044–0.1057）2+（0.5）（0.12–0.1057）2+
（0.2）（0.207–0.1057）2
=0.005187
StandardDeviation（σ）=（0.005187）1/2
=0.0720
=7.20%
ThestandarddeviationofQ-mart’sreturnsis7.20%.
10.2a.ExpectedReturnA=（1/3）（0.063）+（1/3）（0.105）+（1/3）（0.156）
=0.1080
=10.80%
TheexpectedreturnonStockAis10.80%.
ExpectedReturnB=（1/3）（-0.037）+（1/3）（0.064）+（1/3）（0.253）
=0.933
=9.33%
TheexpectedreturnonStockBis9.33%.
b.VarianceA（σA2）=（1/3）（0.063–0.108）2+（1/3）（0.105–0.108）2+（1/3）（0.156–0.108）2
=0.001446
StandardDeviationA（σA）=（0.001446）1/2
=0.0380
=3.80%
ThestandarddeviationofStockA’sreturnsis3.80%.
VarianceB（σB2）=（1/3）（-0.037–0.0933）2+（1/3）（0.064–0.0933）2+（1/3）（0.253–0.0933）2
=0.014447
StandardDeviationB（σB）=（0.014447）1/2
=0.1202
=12.02%
ThestandarddeviationofStockB’sreturnsis12.02%.
C.Covariance（RA,RB）=（1/3）（0.063–0.108）（-0.037–0.0933）+（1/3）（0.105–0.108）（0.064–0.933）+（1/3）（0.156–0.108）（0.253–0.0933）
=0.004539
ThecovariancebetweenthereturnsofStockAandStockBis0.004539.
Correlation（RA,RB）=Covariance（RA,RB）/（σA*σB）
=0.004539/（0.0380*0.1202）
=0.9937
ThecorrelationbetweenthereturnsonStockAandStockBis0.9937.
10.3a.ExpectedReturnHB=（0.25）（-0.02）+（0.60）（0.092）+（0.15）（0.154）
=0.0733
=7.33%
TheexpectedreturnonHighbull’sstockis7.33%.
ExpectedReturnSB=（0.25）（0.05）+（0.60）（0.062）+（0.15）（0.074）=0.0608
=6.08%
TheexpectedreturnonSlowbear’sstockis6.08%.
b.VarianceA（σHB2）=（0.25）（-0.02–0.0733）2+（0.60）（0.092–0.0733）2+（0.15）（0.154–0.0733）2
=0.003363
StandardDeviationA（σHB）=（0.003363）1/2
=0.0580
=5.80%
ThestandarddeviationofHighbear’sstockreturnsis5.80%.
VarianceB（σSB2）=（0.25）（0.05–0.0608）2+（0.60）（0.062–0.0608）2+（0.15）（0.074–0.0608）2
=0.000056
StandardDeviationB（σB）=（0.000056）1/2
=0.0075
=0.75%
ThestandarddeviationofSlowbear’sstockreturnsis0.75%.
c.Covariance（RHB,RSB）=（0.25）（-0.02–0.0733）（0.05–0.0608）+（0.60）（0.092–0.0733）（0.062–（0.0608）+（0.15）（0.154–0.0733）（0.074–0.0608）
=0.000425
ThecovariancebetweenthereturnsonHighbull’sstockandSlowbear’sstockis
0.000425.
Correlation（RA,RB）=Covariance（RA,RB）/（σA*σB）
=0.000425/（0.0580*0.0075）
=0.9770
ThecorrelationbetweenthereturnsonHighbull’sstockandSlowbear’sstockis
0.9770.
10.4ValueofAtlasstockintheportfolio=（120shares）（$50pershare）
=$6,000
ValueofBabcockstockintheportfolio=（150shares）（$20pershare）
=$3,000
TotalValueintheportfolio=$6,000+$3000
=$9,000
WeightofAtlasstock=$6,000/$9,000
=2/3
TheweightofAtlasstockintheportfoliois2/3.
WeightofBabcockstock=$3,000/$9,000
=1/3
TheweightofBabcockstockintheportfoliois1/3.
11.1RealGNPwashigherthananticipated.SincereturnsarepositivelyrelatedtothelevelofGNP,returnsshouldrisebasedonthisfactor.
Inflationwasexactlytheamountanticipated.Sincetherewasnosurpriseinthis
announcement,itwillnotaffectLewis-Stridenreturns.
InterestRatesarelowerthananticipated.Sincereturnsarenegativelyrelatedto
interestrates,thelowerthanexpectedrateisgoodnews.Returns
shouldriseduetointerestrates.
ThePresident’sdeathisbadnews.Althoughthepresidentwasexpectedtoretire,his
retirementwouldnotbeeffectiveforsixmonths.Duringthatperiodhewouldstillcontributetothefirm.Hisuntimelydeathmeanthatthosecontributionswouldnotbemade.Sincehewasgenerallyconsideredanassettothefirm,hisdeathwillcausereturnstofall.
Thepoorresearchresultsarealsobadnews.SinceLewis-Stridenmustcontinueto
testthedrug,itwillnotgointoproductionasearlyasexpected.Thedelaywillaffectexpectedfutureearnings,andthusitwilldampenreturnsnow.
TheresearchbreakthroughispositivenewsforLewisStriden.Sinceitwas
unexpected,itwillcausereturnstorise.
Thecompetitor’sannouncementisalsounexpected,butitisnotawelcomesurprise.ThisannouncementwilllowerthereturnsonLewis-Striden.
Systematicriskisriskthatcannotbediversifiedawaythroughformationofaportfolio.Generally,systematicriskfactorsarethosefactorsthataffectalargenumberoffirmsinthemarket,however,thosefactorswillnotnecessarilyaffectallfirmsequally.ThesystematicfactorsinthelistarerealGNP,inflationandinterestrates.
Unsystematicriskisthetypeofriskthatcanbediversifiedawaythroughportfolioformation.Unsystematicriskfactorsarespecifictothefirmorindustry.Surprisesinthesefactorswillaffectthereturnsofthefirminwhichyouareinterested,buttheywillhavenoeffectonthereturnsoffirmsinadifferentindustryandperhapslittleeffectonotherfirmsinthesameindustry.ForLewis-Striden,theunsystematicriskfactorsarethepresident’sabilitytocontributetothefirm,theresearchresultsandthecompetitor.
11.2a.Letm=systematicriskportionofreturn:
b.Let
=theunsystematicportionofrisk,sincethenewswasonlyaboutthisfirm:
c.TotalReturn=Expectedreturn,plus2thecomponentsofunexpectedreturn:
thesystematicriskportionofreturnandtheunsystematicportion:
11.3a.Letm=systematicriskportionofreturn:
b.Let
=theunsystematicportionofrisk:
c.TotalReturn:
11.4a.Themarketmodelisspecifiedby:
soapplyingthattoeachStock:
StockA:
StockB:
StockC:
b.Sincewedon'thavetheactualmarketreturnorunsystematicrisk,wewillgetaformulawiththosevaluesasunknowns:
c.Now,continuingwiththeMarketModel（asinparta）,when
=15%,andall
=0:
i.returnsofindividualstocks:
ii.returnoftheportfolio:
AlternateSolutionforreturnonportfolio,where
istheweightintheportfolioofstocki:
12.1Thediscountratefortheprojectisequaltotheexpectedreturnforthesecurity,RS,sincetheprojecthasthesameriskasthefirmasawhole.ApplytheCAPMtoexpressthefirm’srequiredreturn,RS,intermsofthefirm’sbeta,,therisk-freerate,RF,andtheexpectedmarketreturn,
M.
RS=RF+（
M–RF）
=0.05+0.95（0.09）
=0.1355
Subtracttheinitialinvestmentatyear0.TocalculatethePVofthecashinflows,applytheannuityformula,discountedat0.1355.
NPV=C0+C1ATr
=-$1,200,000+$340,000A50.1355
=-$20,016.52
DonotundertaketheprojectsincetheNPVisnegative.
12.2a.CalculatetheaveragereturnforDouglasstockandthemarket.
D=（SumofYearlyReturns）/（NumberofYears）
=（-0.05+0.05+0.08+0.15+0.10）/（5）
=0.066
M=（-0.12+0.01+0.06+0.10+0.05）/（5）
=0.020
TocalculatethebetaofDouglasstock,calculatethevarianceofthemarket,（RM-
M）2,andthecovarianceofDouglasstock’sreturnwiththemarket’sreturn,（RD-
D）（RM-
M）.ThebetaofDouglasstockisequaltothecovarianceofDouglasstock’sreturnandthemarket’sreturndividedbythevarianceofthemarket.RemembertodivideboththecovarianceofDouglasstock’sreturnandthemarket’sreturnandthevarianceofthemarketby4.Becausethedataarehistorical,theappropriatedenominatorinthecalculationofthevarianceis4（=T–1）.
RD-
D
RM-
M
（RM-
M）2
（RD-
D）（RM-
M）
-0.116
-0.14
0.0196
0.01624
-0.016
-0.01
0.0001
0.00016
0.014
0.04
0.0016
0.00056
0.084
0.08
0.0064
0.00672
0.034
0.03
0.0009
0.00102
0.0286
0.02470
D=[Cov（RD,RM）/（T-1）]/[Var（RM）/（T-1）]
=（0.02470/4）/（0.0286/4）
=0.864
ThebetaofDouglasstockis0.864.
12.3Calculatethesquarerootofthestock’svarianceandthemarket’svariancetofindthestandarddeviation,,ofeach.
C=（2C）1/2
=（0.004225）1/2
=0.065
M=（2M）1/2
=（0.001467）1/2
=0.0383
Usetheformulaforbeta:
C=[Corr（RC,RM）C]/M
=[（0.675）（0.065）]/（0.0383）
=1.146
ThebetaofCeramicsCraftsmanis1.146.
12.4a.TocomputethebetaofMercantile’sstock,dividethecovarianceofthestock’sreturn
withthemarket’sreturnbythemarketvariance.Sincethosetwovaluesareprovidedintheproblem,the13quarterlyreturnsofMercantile’sstockandthemarketarenotneededforthecalculation.
D=Cov（RD,RM）/2M
=（0.038711）/（0.038588）
=1.0032
ThebetaofMercantileBankingCorporationis1.0032.
b.Thebetaoftheaveragestockisone.SinceMercantile’sbetaisclosetoone,itsstockhasapproximatelythesameriskastheoverallmarket.
Correlation（RA,RB）=Covariance（RA,RB）/（σA*σB）
=0.004539/（0.0380*0.1202）
=0.9937
ThecorrelationbetweenthereturnsonStockAandStockBis0.9937.
10.3a.ExpectedReturnHB=（0.25）（-0.02）+（0.60）（0.092）+（0.15）（0.154）
=0.0733
=7.33%
TheexpectedreturnonHighbull’sstockis7.33%.
ExpectedReturnSB=（0.25）（0.05）+（0.60）（0.062）+（0.15）（0.074）=0.0608
=6.08%
TheexpectedreturnonSlowbear’sstockis6.08%.
b.VarianceA（σHB2）=（0.25）（-0.02–0.0733）2+（0.60）（0.092–0.0733）2+（0.15）（0.154–0.0733）2
=0.003363
StandardDeviationA（σHB）=（0.003363）1/2
=0.0580
=5.80%
ThestandarddeviationofHighbear’sstockreturnsis5.80%.
VarianceB（σSB2）=（0.25）（0.05–0.0608）2+（0.60）（0.062–0.0608）2+（0.15）（0.074–0.0608）2
=0.000056
StandardDe
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