Question
In: Accounting
QA. What is beta of an asset for each scenario: 1) S&P return = 8%, σm...
QA. What is beta of an asset for each scenario:
1) S&P return = 8%, σm = 5, σx = 5, market risk premium = 4%, ρxm = 0.67
2) Rx = 10%, market risk premium = 4%, t-bill rate = 4%
3) Risk free rate = 5%, σxm = 32, σm = 6, σx = 4
4) σm = 6, σx = 4, Rx = 10%, NIKKEI return = 12%, risk free rate = 2%
Solutions
Expert Solution
Please check the attached images for complete calculation of beta for all the four questions
ekkarill92 answered 1 year agoRelated Solutions
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...
Asset P has a beta of 1.6. The risk-free rate of return is 4 percent, while...
Asset P has a beta of 1.6. The risk-free rate of return is 4
percent, while the market risk premium is 10. The asset's required
rate of return is ________. Select one: a. 10.0 percent b. 25.0
percent c. 15.0 percent d. 20.0 percent Miller Dental, Inc. is
considering replacing its existing laser checking system, which was
purchased 3 years ago at a cost of $400,000. The laser checking
system can be sold for a lump sum of $200,000. It...
Year Asset Return S&P 500 Return 1 12 7 2 12 14 3 -1 -3 4...
Year
Asset Return
S&P 500 Return
1
12
7
2
12
14
3
-1
-3
4
14
9
5
9
8
6
15
15
7
20
12
8
-10
-5
9
7
9
10
12
14
Find the Beta in Excel
The risk-free rate, S&P 500 index, and the average return, standard deviation, beta, and residual standard...
The risk-free rate, S&P 500 index, and the average return,
standard deviation, beta, and residual standard deviation for three
funds are given.
Fund
Avg. Return
Std. Dev.
Beta
Residual Std. Dev.
A
B
C
S&P 500
Risk-free
18
25
22
12
4
15
30
20
10
0
1.3
1.4
1.2
1.0
0
1.5
2.5
3.0
1.Figure out the M2 measure for Fund A and B
2.Figure out the best fund based on the information ratio
Use the following table.
Your...
The risk-free rate, S&P 500 index, and the average return, standard deviation, beta, and residual standard...
The risk-free rate, S&P 500 index, and the average return,
standard deviation, beta, and residual standard deviation for three
funds are given.
Fund
Avg. Return
Std. Dev.
Beta
Residual Std. Dev.
A
B
C
S&P 500
Risk-free
18
25
22
12
4
15
30
20
10
0
1.3
1.4
1.2
1.0
0
1.5
2.5
3.0
Figure out the M2 measure
for Fund A and B.
Figure out the best fund based on the information
ratio.
Use the following table.
Your...
An asset has a beta of 2.0 and an expected return of 20%. The expected risk...
An asset has a beta of 2.0 and an expected return of 20%. The
expected risk premium on the market portfolio is 5% and the
risk-free rate is 7%. What is the equilibrium return?
Select one:
a. 0.14
b. 0.17
c. 0.13
d. 0.20
Asset W has an expected return of 12.8 percent and a beta of 1.25. If the...
Asset W has an expected return of 12.8 percent and a beta of
1.25. If the risk-free rate is 4.7 percent, complete the following
table for portfolios of Asset W and a risk-free asset. (Leave no
cells blank - be certain to enter "0" wherever required. Do not
round intermediate calculations. Enter your expected returns as a
percent rounded to 2 decimal places, e.g., 32.16, and your beta
answers to 3 decimal places, e.g., 32.161.) Percentage of Portfolio
in Asset...
1. A firm's Beta is 1.10. The historical S&P500 annual return of 8% should be used as the return on the market. The 3-month Treasury Bill Yield is 2%. Compute investor's required rate of return.
1. A firm's Beta is 1.10. The historical S&P500 annual return of 8% should be used as the return on the market. The 3-month Treasury Bill Yield is 2%. Compute investor's required rate of return. a. 8% b. 6% c. 8.6% d. 6.6% 2. A firm's current annual dividend is $2.15 per share and the expected growth rate is 3.4% per year in perpetuity. Investor's required rate of return is 11.2%. What is the estimated value of the stock using the Dividend Discount Growth Model? a....
1. What is the required rate of return on a stock with a beta of 0.6?...
1. What is the required rate of return on a stock with a beta of
0.6? Round your answer to one decimal place
____
2. Calculate the required rate of return for Mudd Enterprises
assuming that investors expect a 4.5% rate of inflation in the
future. The real risk-free rate is 1.5%, and the market risk
premium is 5.5%. Mudd has a beta of 2.5, and its realized rate of
return has averaged 11.5% over the past 5 years. Round...
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