A stock's beta is 1.4, its standard deviation is 30% and you expect that it will...

A stock's beta is 1.4, its standard deviation is 30% and you expect that it will earn 12% expected return. The risk free rate is 3% and the market's expected risk premium is 8%. The stock plots _____ (above/below) the SML and according to the CAPM it is _____ (underpriced/overpriced). The stock's Jensen's alpha is _____ % (rounded to two decimals), its Treynor measure is _____ (no units,use numbers in decimals to calculate) and is Sharpe ratio is _____ (no units,use numbers in decimals to calculate)

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jeff jeffy answered 2 months ago

an equity fund has a beta of 1.4, interpret its beta value You have €40,000 to...

an equity fund has a beta of 1.4, interpret its beta value You have €40,000 to invest in a stock currently priced at €80 a share. The initial margin requirement is 60 percent. Ignoring taxes and commissions show the impact on your rate of return if the stock rises to €100 a share and if it falls to €40 a share assuming (a) you pay cash for the stock, and (b) you buy it using maximum leverage.

You have a portfolio with a standard deviation of 30 %30% and an expected return of...

You have a portfolio with a standard deviation of 30 %30% and an expected return of 17 %17%. You are considering adding one of the two stocks in the following table. If after adding the stock you will have 20 %20% of your money in the new stock and 80 %80% of your money in your existing portfolio, which one should you add? Expected Return Standard Deviation Correlation with Your Portfolio's Returns Stock A 1616 % 2121 % 0.20.2 Stock...

Standard deviation (%) Beta Security A 30 0.5 Security B 20 1.5 The portfolio is constructed...

Standard deviation (%) Beta Security A 30 0.5 Security B 20 1.5 The portfolio is constructed with 40% invested in A, 60% in B. The correlation coefficient between A and B is -0.6. a) What is portfolio Beta? b) What is the standard deviation of the portfolio? c) If the expect return for this portfolio is 14% and risk-free rate is 4%, what is the Sharpe ratio?

The expected return of stock A is 20% per year and the stock's annual standard deviation...

The expected return of stock A is 20% per year and the stock's annual standard deviation is 45%. There is also a risk-free asset. When a complete portfolio is formed with a portfolio weight on the risky asset of 35%, the expected return on the complete portfolio is 8.0%. (a) Compute the risk-free rate of return. (b) Compute the annual standard deviation of the complete portfolio above (c) Compute the market price of risk (i.e., the Sharpe ratio)?

The Oko-Cocoa Corporation's equity has a beta of 1.4. Its debt has a beta of 0.2....

The Oko-Cocoa Corporation's equity has a beta of 1.4. Its debt has a beta of 0.2. Its debt/equity (D/E) ratio is 0.3. The Johnson Corporation's equity has a beta of 2. The company has zero beta debt, and its debt/equity ratio is 0.5. The risk free rate is 8%, and the expected return on the market portfolio is 19%. There are no taxes. (a) The Johnson Corporation is thinking of investing in the same line of business that OkaCocoa is...

Suppose that you are managing a portfolio with a standard deviation of 30% and an expected...

Suppose that you are managing a portfolio with a standard deviation of 30% and an expected return of 16%. The Treasury bill rate is 9%. A client wants to invest 19% of their investment budget in a T-bill money market fund and 81% in your fund. 1. What is the expected rate of return on your client's complete portfolio? 2. What is the standard deviation for your client's complete portfolio? 3. What is the Sharpe ratio of your client's complete...

You have a portfolio with a standard deviation of 30 % and an expected return of...

You have a portfolio with a standard deviation of 30 % and an expected return of 18 %. You are considering adding one of the two stocks in the following table. If after adding the stock you will have 30 % of your money in the new stock and 70 % of your money in your existing portfolio, which one should you add? Expected Return Standard Deviation Correlation with Your Portfolio's Returns Stock A 15% 23% 0.3 Stock B 15%...

Portfolio Average Return Standard Deviation Beta A &nb

Portfolio Average Return Standard Deviation Beta A 14.7% 18.6% 1.47 B 8.8 14.2 .78 C 11.2 16.0 1.22 The risk-free rate is 4.5 percent and the market risk premium is 7 percent. What is the Treynor ratio of a portfolio comprised of 30 percent portfolio A, 20 percent portfolio B, and 50 percent portfolio C? SHOW WORK

The mean number of pets per household is 2.96 with standard deviation 1.4. A sample of...

The mean number of pets per household is 2.96 with standard deviation 1.4. A sample of 52 households is drawn. Find the probability that the sample mean is less than 3.11. a. 0.2245 b. 0.5676 c. 0.3254 d. 0.7726

n mean standard deviation Shift A 10 3.7 1.2 Shift B 10 3.3 1.4 You work...

n mean standard deviation Shift A 10 3.7 1.2 Shift B 10 3.3 1.4 You work at a shipyard where employees work two 12-hour shifts each day-shift A and shift B. You have been assigned to study the number of accidents that occur during each shift, to determine if there are any differences. Using the following information, what is the test statistic, degrees of freedom for this test and the critical value?

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