Question
In: Finance
The one-month treasury rate is 0.9%, and the expected rate of return for the S&P 500...
The one-month treasury rate is 0.9%, and the expected rate of return for the S&P 500 Index is 6.3%. Use the capital asset pricing model (CAPM) to calculate the expected rate of return on a security with a beta of 2.3.
Solutions
jeff jeffy answered 2 years agoRelated Solutions
Assume that the 90-day Treasury Bill rate of return is 3.5% andthe S&P 500 index...
Assume that the 90-day Treasury Bill rate of return is 3.5% and
the S&P 500 index rate of return is 12%. a) Write the CAPM
equation using the above data. b) What is the intercept and slope
of the above CAPM equation? c) What is the stock’s risk premium
from the above data
The expected rate of return on a Treasury Bill is 0.020, the expected rate of return...
The expected rate of return on a Treasury Bill is 0.020, the
expected rate of return on the Bud 5000 is 0.08 and the required
rate of return of a stock is 0.10. What is the stocks beta?
The expected return of the S&P 500 = 11% and the risk = 22%. The risk...
The expected return of the S&P 500 = 11% and the risk = 22%.
The risk free rate = 5%. Assume you have a very, very highly risk
averse person whose A = 1,000. How much of the person’s wealth
would be in stocks and how much in T-Bills?
Suppose that the S&P 500, with a beta of 1.0, has an expected return of 12%...
Suppose that the S&P 500, with a beta of 1.0, has an expected return of 12% and T-bills provide a risk-free return of 3%.
a.
What would be the expected return and beta of portfolios constructed from these two assets with weights in the S&P 500 of (i) 0; (ii) .25; (iii) .50; (iv) .75; (v) 1.0? (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your answers to 2 decimal...
Suppose that the S&P 500, with a beta of 1.0, has an expected return of 11%...
Suppose that the S&P 500, with a beta of 1.0, has an
expected return of 11% and T-bills provide a risk-free return of
6%.
a. What would be the expected return and beta
of portfolios constructed from these two assets with weights in the
S&P 500 of (i) 0; (ii) 0.25; (iii) 0.50; (iv) 0.75; (v) 1.0?
(Leave no cells blank - be certain to enter "0" wherever
required. Do not round intermediate calculations. Enter the value
of Expected return...
If you want to invest into a stock A for one year, and given that during this period the expected return of the S&P 500 index is 25%
Asset Pricing (CAPM & APT) 1 If you want to invest into a stock A for one year, and given that during this period the expected return of the S&P 500 index is 25%, the risk-free rate in the market is 5% and stock A's sensitivity to the market risk is 0.5 Compute the expected return of stock A that you want to invest. Introduction to Corporate Finance 2 From the shareholders' view, what is the goal of financial management?
Given the monthly returns that follow: Month Portfolio Return S&P 500 Return Jan. 5.5.% 5.8% Feb....
Given the monthly returns that follow:
Month
Portfolio Return
S&P 500 Return
Jan.
5.5.%
5.8%
Feb.
-2.4
-3.3
March
-1.8
-1.5
April
2.7
2.0
May
0.7
-0.1
June
-0.9
-0.4
July
0.1
0.5
August
1.5
2.0
September
-0.8
-0.6
October
-3.2
-3.7
November
2.4
1.6
December
0.6
0.1
Calculate R2:
Alpha: %
Beta:
Average return difference (with signs): %
Average return difference (without signs) %
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio...
Consider historical data showing that the average annual rate
of return on the S&P 500 portfolio over the past 85 years has
averaged roughly 8% more than the Treasury bill return and that the
S&P 500 standard deviation has been about 20% per year. Assume
these values are representative of investors’ expectations for
future performance and that the current T-bill rate is 5%.
Calculate the expected return and variance of portfolios
invested in T-bills and the S&P 500 index with...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio...
Consider historical data showing that the average annual rate of
return on the S&P 500 portfolio over the past 85 years has
averaged roughly 8% more than the Treasury bill return and that the
S&P 500 standard deviation has been about 34% per year. Assume
these values are representative of investors' expectations for
future performance and that the current T-bill rate is 5%.
Calculate the utility levels of each portfolio for an investor with
A = 3. Assume the utility...
Consider historical data showing that the average annual rate of return on the S&P 500 portfolio...
Consider historical data showing that the average annual rate of
return on the S&P 500 portfolio over the past 85 years has
averaged roughly 8% more than the Treasury bill return and that the
S&P 500 standard deviation has been about 29% per year. Assume
these values are representative of investors' expectations for
future performance and that the current T-bill rate is 4%.
Calculate the utility levels of each portfolio for an investor with
A = 3. Assume the utility...
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