Question

In: Finance

9.) The annual volatility of a stock is 0.3345. What is the daily volatility of that...

9.) The annual volatility of a stock is 0.3345. What is the daily volatility of that stock?

A. 0.0511

B. 0.0337

C. 0.0211

D. 0.0421

10.) The annual volatility of a stock is 0.2532. The expected return on that stock is 11.5%. The yield on a 1-year T-bill is 2.5%. What is the Sharpe ratio of this stock?

A. 0.2511

B. 0.4651

C. 0.2238

D. 0.3555

11.) The expected return of GM is 8.5%. The expected volatility of GM is 0.200. What is the VaR(0.05) of GM?

A. -29.10%

B. -8.33%

C. -24.39%

D. -10.23%

13.) Which of the following is the best measure of risk-adjusted return?

A. excess return

B. variance

C. volatility

D. Sharpe ratio

14.) The number that represents the value that 95% of all expected outcomes should be greater than is the ___________.

A. Sharpe ratio

B. VaR(0.95)

C. volatility

D. VaR(0.05)

Expert Solution

1.
=0.3345/SQRT(252)=0.0210715193702644

2.
=(11.5%-2.5%)/0.2532=0.355450236966825

3.
=8.5%-1.645*0.2=-24.39%

4.
Sharpe ratio

5.
VaR(0.05)

jeff jeffy answered 2 years ago

What is stock volatility? How can it be estimating

Assume that the (annual) interest rate is 2% (continuous compounding), the stock has a volatility of...

Assume that the (annual) interest rate is 2% (continuous compounding), the stock has a volatility of 60%, there is 1 year until expiration of the contract, and the underlying stock is currently traded at $50 in the market. For a call struck at $55, use the Black-Scholes formula to calculate (a) the value of the call, (b) the delta and vega of the call. Based on the delta and vega calculated above, (c) approximately how much does the value of...

Suppose that an asset price is $100 and that its daily volatility is 1.6%. What would...

Suppose that an asset price is $100 and that its daily volatility is 1.6%. What would be a two-standard deviation move in the asset price in two days? You think that the asset price at the end of five days will be between $100 and 110. How confident should you be if you assume returns are normally distributed with mean 0? Again assuming normality (mean 0), what’s the probability that the stock price will be 90 or less at that...

A stock price is $50 with annual volatility of 20%. Assume a risk-free rate of 6%...

A stock price is $50 with annual volatility of 20%. Assume a risk-free rate of 6% p.a. The strike price of a European put is $50 and the time to maturity is 4 months. Calculate the following Greeks for the put: 11.1 Delta 11.2 Theta 11.3 Gamma 11.4 Vega 11.5 Rho If the stock price changes by $2 over a short period of time, estimate the change in option price using the Greeks?

A stock is currently trading at 36$/share, has annual volatility of 17% and pays no dividends....

A stock is currently trading at 36$/share, has annual volatility of 17% and pays no dividends. The risk-free rate is 6% p.a. continuously compounded and an option trader writes a three-month call which is $4 out-of-the money. What should be the price of this call? What should be the price of this call as a percentage of the current stock price?

You currently hold $50,000 investment in Sancour Company’s stock with 9% expected return and 18% volatility....

You currently hold $50,000 investment in Sancour Company’s stock with 9% expected return and 18% volatility. The market portfolio has 15 % expected return and 10% volatility. The risk free rate is 5%. Based on the CAPM assumptions, how would you switch your Sancour stock investment to the CML portfolio with the lowest possible volatility while having the same expected return as the Sancour stock? Invest $30,000 in the market portfolio and $20,000 in a risk-free security Invest $20,000 in...

Suppose Wesley? Publishing's stock has a volatility of 65%?, while Addison? Printing's stock has a volatility...

Suppose Wesley? Publishing's stock has a volatility of 65%?, while Addison? Printing's stock has a volatility of 25%. If the correlation between these stocks is 40%?, what is the volatility of the following portfolios of Addison and? Wesley: a. 100% Addison b. 75% Addison and 25% Wesley c. 50% Addison and 50% Wesley

What is the effective annual rate of 8% compounded daily?

Betas: Stock Volatility Conceptual Overview: Explore how stock volatility relates to the beta coefficient b risk...

Betas: Stock Volatility Conceptual Overview: Explore how stock volatility relates to the beta coefficient b risk measure. The tendency of a stock to move with the market is measured by its beta coefficient, b. When first loaded, the graph shows the line for an average stock, which necessarily matches the market return. In a year when the market returns 10%, the average stock returns 10%. And in a year when the market goes down -10%, the average stock goes down...

Explain in your own words why volatility "smiles". If the volatility of a stock grows indefinitely,...

Explain in your own words why volatility "smiles". If the volatility of a stock grows indefinitely, what will happen to the delta of the call option? What will happen to the delta of the put option? Justify.