高级财管考点总结.docx

1、高级财管考点总结高级财管考点总结计算题（50分）10.1 a. Expected Return = (0.1)(-0.045) + (.2)(0.044) + (0.5)(0.12) + (0.2)(0.207) = 0.1057 = 10.57% The expected return on Q-marts stock is 10.57%.b. Variance (2) = (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 = 0.005187Standard De

2、viation () = (0.005187)1/2 = 0.0720 = 7.20%The standard deviation of Q-marts returns is 7.20%.10.2 a. Expected ReturnA = (1/3)(0.063) + (1/3)(0.105) + (1/3)(0.156) = 0.1080 = 10.80% The expected return on Stock A is 10.80%. Expected ReturnB = (1/3)(-0.037) + (1/3)(0.064) + (1/3)(0.253) = 0.933 = 9.3

3、3% The expected return on Stock B is 9.33%.b. VarianceA (A2) = (1/3)(0.063 0.108)2 + (1/3)(0.105 0.108)2 + (1/3)(0.156 0.108)2 = 0.001446Standard DeviationA (A) = (0.001446)1/2 = 0.0380 = 3.80%The standard deviation of Stock As returns is 3.80%.VarianceB (B2) = (1/3)(-0.037 0.0933)2 + (1/3)(0.064 0.

4、0933)2 + (1/3)(0.253 0.0933)2 = 0.014447Standard DeviationB (B) = (0.014447)1/2 = 0.1202 = 12.02%The standard deviation of Stock Bs returns is 12.02%.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) = 0.004539The covarianc

5、e between the returns of Stock A and Stock B is 0.004539.Correlation(RA,RB) = Covariance(RA, RB) / (A * B) = 0.004539 / (0.0380 * 0.1202) = 0.9937The correlation between the returns on Stock A and Stock B is 0.9937.10.3 a. Expected ReturnHB = (0.25)(-0.02) + (0.60)(0.092) + (0.15)(0.154) = 0.0733 =

6、7.33% The expected return on Highbulls stock is 7.33%. Expected ReturnSB = (0.25)(0.05) + (0.60)(0.062) + (0.15)(0.074) = 0.0608 = 6.08% The expected return on Slowbears stock is 6.08%.b. VarianceA (HB2) = (0.25)(-0.02 0.0733)2 + (0.60)(0.092 0.0733)2 + (0.15)(0.154 0.0733)2 = 0.003363Standard Devia

7、tionA (HB) = (0.003363)1/2 = 0.0580 = 5.80%The standard deviation of Highbears stock returns is 5.80%. VarianceB (SB2) = (0.25)(0.05 0.0608)2 + (0.60)(0.062 0.0608)2 + (0.15)(0.074 0.0608)2 = 0.000056Standard DeviationB (B) = (0.000056)1/2 = 0.0075 = 0.75%The standard deviation of Slowbears stock re

8、turns is 0.75%.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) = 0.000425The covariance between the returns on Highbulls stock and Slowbears stock is 0.000425.Correlation(RA,RB) = Covariance(RA, RB) / (A * B) = 0.

9、000425 / (0.0580 * 0.0075) = 0.9770 The correlation between the returns on Highbulls stock and Slowbears stock is 0.9770.10.4 Value of Atlas stock in the portfolio = (120 shares)($50 per share) = $6,000 Value of Babcock stock in the portfolio = (150 shares)($20 per share) = $3,000 Total Value in the

10、 portfolio = $6,000 + $3000 = $9,000 Weight of Atlas stock = $6,000 / $9,000 = 2/3 The weight of Atlas stock in the portfolio is 2/3. Weight of Babcock stock = $3,000 / $9,000 = 1/3 The weight of Babcock stock in the portfolio is 1/3.11.1 Real GNP was higher than anticipated. Since returns are posit

11、ively related to the level of GNP, returns should rise based on this factor.Inflation was exactly the amount anticipated. Since there was no surprise in this announcement, it will not affect Lewis-Striden returns.Interest Rates are lower than anticipated. Since returns are negatively related to inte

12、rest rates, the lower than expected rate is good news. Returns should rise due to interest rates.The Presidents death is bad news. Although the president was expected to retire, his retirement would not be effective for six months. During that period he would still contribute to the firm. His untime

13、ly death mean that those contributions would not be made. Since he was generally considered an asset to the firm, his death will cause returns to fall.The poor research results are also bad news. Since Lewis-Striden must continue to test the drug, it will not go into production as early as expected.

14、 The delay will affect expected future earnings, and thus it will dampen returns now. The research breakthrough is positive news for Lewis Striden. Since it was unexpected, it will cause returns to rise.The competitors announcement is also unexpected, but it is not a welcome surprise. This announcem

15、ent will lower the returns on Lewis-Striden.Systematic risk is risk that cannot be diversified away through formation of a portfolio. Generally, systematic risk factors are those factors that affect a large number of firms in the market, however, those factors will not necessarily affect all firms e

16、qually. The systematic factors in the list are real GNP, inflation and interest rates.Unsystematic risk is the type of risk that can be diversified away through portfolio formation. Unsystematic risk factors are specific to the firm or industry. Surprises in these factors will affect the returns of

17、the firm in which you are interested, but they will have no effect on the returns of firms in a different industry and perhaps little effect on other firms in the same industry. For Lewis-Striden, the unsystematic risk factors are the presidents ability to contribute to the firm, the research result

18、s and the competitor.11.2 a. Let m = systematic risk portion of return:b. Let = the unsystematic portion of risk, since the news was only about this firm:c. Total Return = Expected return, plus 2 the components of unexpected return: the systematic risk portion of return and the unsystematic portion:

19、11.3 a. Let m = systematic risk portion of return:b. Let = the unsystematic portion of risk:c. Total Return:11.4 a. The market model is specified by :so applying that to each Stock:Stock A:Stock B:Stock C:b. Since we dont have the actual market return or unsystematic risk, we will get a formula with

20、 those values as unknowns:c. Now, continuing with the Market Model (as in part a), when=15%, and all = 0 :i.returns of individual stocks:ii. return of the portfolio:Alternate Solution for return on portfolio, where is the weight in the portfolio of stock i:12.1 The discount rate for the project is e

21、qual to the expected return for the security, RS, since the project has the same risk as the firm as a whole. Apply the CAPM to express the firms required return, RS, in terms of the firms beta, , the risk-free rate, RF, and the expected market return, M. RS = RF + (M RF) = 0.05 + 0.95 (0.09) = 0.13

22、55Subtract the initial investment at year 0. To calculate the PV of the cash inflows, apply the annuity formula, discounted at 0.1355. NPV = C0 + C1 ATr = -$1,200,000 + $340,000 A50.1355 = -$20,016.52 Do not undertake the project since the NPV is negative. 12.2 a. Calculate the average return for Do

23、uglas stock and the market. D = (Sum of Yearly Returns) / (Number of Years) = (-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) = 0.020To calculate the beta of Douglas stock, calculate the variance of the market, (RM - M)2, and the covariance of Douglas

24、stocks return with the markets return, (RD - D) (RM - M). The beta of Douglas stock is equal to the covariance of Douglas stocks return and the markets return divided by the variance of the market. Remember to divide both the covariance of Douglas stocks return and the markets return and the varianc

25、e of the market by 4. Because the data are historical, the appropriate denominator in the calculation of the variance is 4 (=T 1). RD - DRM - M(RM - M)2(RD - D) (RM - M)-0.116-0.140.01960.01624-0.016-0.010.00010.000160.0140.040.00160.000560.0840.080.00640.006720.0340.030.00090.001020.02860.02470 D =

26、 Cov (RD, RM) / (T-1) / Var (RM) / (T-1) = (0.02470 / 4) / (0.0286 / 4) = 0.864 The beta of Douglas stock is 0.864. 12.3 Calculate the square root of the stocks variance and the markets variance to find the standard deviation, , of each. C = (2C)1/2 = (0.004225)1/2 = 0.065 M = (2M)1/2 = (0.001467)1/

27、2 = 0.0383Use the formula for beta: C = Corr (RC, RM) C / M = (0.675) (0.065) / (0.0383) = 1.146 The beta of Ceramics Craftsman is 1.146. 12.4 a. To compute the beta of Mercantiles stock, divide the covariance of the stocks return with the markets return by the market variance. Since those two value

28、s are provided in the problem, the 13 quarterly returns of Mercantiles stock and the market are not needed for the calculation. D = Cov (RD, RM) / 2M = (0.038711) / (0.038588) = 1.0032 The beta of Mercantile Banking Corporation is 1.0032. b. The beta of the average stock is one. Since Mercantiles be

29、ta is close to one, its stock has approximately the same risk as the overall market. Correlation(RA,RB) = Covariance(RA, RB) / (A * B) = 0.004539 / (0.0380 * 0.1202) = 0.9937The correlation between the returns on Stock A and Stock B is 0.9937.10.3 a. Expected ReturnHB = (0.25)(-0.02) + (0.60)(0.092)

30、 + (0.15)(0.154) = 0.0733 = 7.33% The expected return on Highbulls stock is 7.33%. Expected ReturnSB = (0.25)(0.05) + (0.60)(0.062) + (0.15)(0.074) = 0.0608 = 6.08% The expected return on Slowbears stock is 6.08%.b. VarianceA (HB2) = (0.25)(-0.02 0.0733)2 + (0.60)(0.092 0.0733)2 + (0.15)(0.154 0.0733)2 = 0.003363Standard DeviationA (HB) = (0.003363)1/2 = 0.0580 = 5.80%The standard deviation of Highbears stock returns is 5.80%. VarianceB (SB2) = (0.25)(0.05 0.0608)2 + (0.60)(0.062 0.0608)2 + (0.15)(0.074 0.0608)2 = 0.000056Standard De