Question
In: Finance
What is the correlation between stocks X and Z? State of the Economy Probability of Occurrence...
What is the correlation between stocks X and Z?
|
State of the Economy |
Probability of Occurrence |
Stock X Expected Return |
Stock Y Expected Return |
Stock Z Expected Return |
|
Recession |
35% |
25% |
-10% |
15% |
|
Average |
45% |
14% |
8% |
25% |
|
Boom |
20% |
4% |
14% |
-10% |
|
0.96 |
|
0.51 |
|
-0.26 |
|
0.26 |
Solutions
Expert Solution
| Coefficient of Correlation = | 50.93/(7.68*13.03) | ||
| 0.51 | |||
| Option B is correct |
jeff jeffy answered 3 years agoRelated Solutions
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Consider the following information on Stocks X and Y: State of
Economy Probability of State of Economy Rate of Return if State
Occurs Stock X Stock Y Recession 0.24 0.065 −0.29 Normal 0.69 0.365
0.21 Irrational exuberance 0.07 0.225 0.49 The market risk premium
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X. (Do not round intermediate calculations. Enter the expected
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Consider the following information on 3 stocks. State of the economy Probability of state of economy...
Consider the following information on 3 stocks.
State of the economy
Probability of state of economy
Return of stock A
Return of Stock B
Return of Stock C
Recession
0.20
.24
.36
.55
Normal
0.55
.17
.13
.09
Boom
0.25
0
-.28
-.45
If your portfolio is invested 40% in A , 40% in B and 20% in C.
What is the portfolio expected return?
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If the expected t-bill rate is 3.8%, what is...
state of the economy probability of occurrence expected return on stock A expected return on stock...
state of the economy
probability of occurrence
expected return on stock A
expected return on stock B
High growth
0.1
60%
5%
Moderate growth
0.2
20%
20%
No growth
0.5
10%
5%
Recession
0.2
-25%
0%
1)Calculate the weighted average of the standard deviation
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2) Given correlation of -1, what portfolio...
Consider the following information on three stocks: State of Economy Probability of State of Economy Rate...
Consider the following information on three stocks:
State of
Economy
Probability of
State of Economy
Rate of Return
if State Occurs
Stock A
Stock B
Stock C
Boom
.25
.27
.15
.11
Normal
.65
.14
.11
.09
Bust
.10
−.19
−.04
.05
A portfolio is invested 45 percent each in Stock A and Stock B
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A.
8.71...
consider the following information about three stocks: state of economy. probability of state of &
consider the following information about three
stocks:
state of economy. probability of state
of
economy
boom.
0.20
normal.
0.55
bust.
0.25
rate of return if state occurs
stock
A.
Stock
B.
stock C
0.38.
0.50.
0.50
0.16.
0.14.
0.12
0.00.
-0.30.
-0.50
a-1. if your portfolio is invested 30%each in A and B
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a-2. what is the variance?
a-3. what is the standard deviation?
b. if the expected T-bill...
Consider the following information on Stocks I and II: State of Economy Probability of State of...
Consider the
following information on Stocks I and II:
State of Economy
Probability of
State of Economy
Rate of Return if
State Occurs
Stock I
Stock II
Recession
.20
.02
−.20
Normal
.55
.32
.12
Irrational exuberance
.25
.18
.40
The market risk premium is 7 percent, and the risk-free rate is
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Calculate the beta and standard deviation for both stocks
Also include which one has more systematic risk, and which is
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Consider the following information on Stocks I and II: State of Economy Probability of State of...
Consider the following information on Stocks I and II:
State of Economy
Probability of
State of Economy
Rate of Return if State Occurs
Stock I
Stock II
Recession
.22
.055
−.27
Normal
.67
.355
.19
Irrational exuberance
.11
.215
.47
The market risk premium is 11.7 percent, and the risk-free rate is
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Requirement 1:
(a)
Calculate the beta and standard deviation of Stock I. (Do not round
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Consider the following information on Stocks I and II: State of Economy Probability of State of...
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Occurs Stock I Stock II Recession .24 .030 −.34 Normal .59 .340 .26
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Calculate the beta and standard deviation of Stock I. (Do not round
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percentage. Round your...
Consider the following information on a portfolio of three stocks: State of Economy Probability of State...
Consider the
following information on a portfolio of three stocks:
State of
Economy
Probability
of
State of Economy
Stock A
Rate of Return
Stock B
Rate of Return
Stock C
Rate of Return
Boom
.15
.04
.33
.55
Normal
.60
.09
.13
.19
Bust
.25
.15
–.14
–.28
a.
If your portfolio is invested 40 percent each in A and B and 20
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Consider the following information on Stocks I and II: State of Economy Probability of State of...
Consider the following information on Stocks I and II:
State of Economy
Probability of
State of Economy
Rate of Return if State Occurs
Stock I
Stock II
Recession
.21
.040
−.36
Normal
.61
.350
.28
Irrational exuberance
.18
.210
.46
The market risk premium is 11.6 percent, and the
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a.
Calculate the beta and standard deviation of Stock I.
(Do not round intermediate calculations. Enter the standard
deviation as a percent and...
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