1、1 CAPM模型認(rèn)為資產(chǎn)組合收益可以由得到最好的解釋。 a. 經(jīng)濟(jì)因素 b. 特有風(fēng)險(xiǎn) c. 系統(tǒng)風(fēng)險(xiǎn) d. 分散化 c2 按照C A P M模型，假定市場(chǎng)預(yù)期收益率= 1 5%，無風(fēng)險(xiǎn)利率= 8% X Y Z證券的預(yù)期收益率= 1 7% X Y Z的貝塔值= 1 . 2 5 以下哪種說法正確？ a. X Y Z被高估 b. X Y Z是公平定價(jià) c. X Y Z的阿爾法值為-0 . 2 5% d. X Y Z的阿爾法值為0 . 2 5% d第3至第5題中假定無風(fēng)險(xiǎn)利率為6%，市場(chǎng)收益率是1 6%。 3、一股股票今天的售價(jià)為5 0美元，在年末將支付每股6美元的紅利。貝塔值為1 . 2。預(yù)期在年

2、末該股票售價(jià)是多少？ 為股票的 等于1，它的預(yù)期收益率應(yīng)該等于市場(chǎng)收益率，即6 + 1 . 2 ( 1 6-6) =18%。 E(r) = (D1+P1-P0) /P0 0. 1 8 = ( 6 +P1-5 0 ) / 5 0 = 5 3美元 4、投資者購入一企業(yè)，其預(yù)期的永久現(xiàn)金流為1 000美元，但因有風(fēng)險(xiǎn)而不確定。如果投資者認(rèn)為企業(yè)的貝塔值是0 . 5，當(dāng)貝塔值實(shí)際為1時(shí)，投資者愿意支付的金額比該企業(yè)實(shí)際價(jià)值高多少？ 假定1 000美元是永久型債券。如果是0 . 5，現(xiàn)金流應(yīng)該按利率折現(xiàn)： 6%+ 0 . 5( 1 6%-6%) = 11% PV=1 000/0.11=9 090.91美

3、元 但是，如果等于1，則投資的收益率就應(yīng)等于1 6%，支付給企業(yè)的價(jià)格就應(yīng)該為：PV=1 000 /0.16=6 250美元，其中的差額為2 840.91 美元，是你多支付的部分，如果你錯(cuò)誤地將視為0 . 5而不是1的話。 5、一股票預(yù)期收益率為4%，其貝塔值是多少？ 利用證券市場(chǎng)線： 4 = 6 + ( 1 6-6 ) =-2 / 1 0 =-0 . 2 6、證券市場(chǎng)線描述的是： a. 證券的預(yù)期收益率與其系統(tǒng)風(fēng)險(xiǎn)的關(guān)系。 b. 市場(chǎng)資產(chǎn)組合是風(fēng)險(xiǎn)性證券的最佳資產(chǎn)組合。 c. 證券收益與指數(shù)收益的關(guān)系。 d. 由市場(chǎng)資產(chǎn)組合與無風(fēng)險(xiǎn)資產(chǎn)組成的完整的資產(chǎn)組合。 a7、如果rf6%， E(rM)

4、1 4%， E(rP) 1 8%的資產(chǎn)組合的值等于多少？ E(rP) =rf+ E(rM)- rf 1 8 = 6 + ( 1 4-6 ) = 1 2 / 8 = 1 . 5 8、以下說法是對(duì)還是錯(cuò)？ a. 值為零的股票的預(yù)期收益率為零。 b. CAPM模型表明如果要投資者持有高風(fēng)險(xiǎn)的證券，相應(yīng)地也要求更高的回報(bào)率。 c. 通過將0 . 7 5的投資預(yù)算投入到國庫券，其余投入到市場(chǎng)資產(chǎn)組合，可以構(gòu)建值為0 . 7 5的資產(chǎn)組合。 a. 錯(cuò)。 = 0說明E(rP) =rf，而不是零。 b. 錯(cuò)。投資者僅要求承擔(dān)系統(tǒng)風(fēng)險(xiǎn)(不可分散的或市場(chǎng)風(fēng)險(xiǎn))的風(fēng)險(xiǎn)溢價(jià)。全部波動(dòng)包括不可分散的風(fēng)險(xiǎn)。 c. 錯(cuò)。你

5、的資產(chǎn)組合的75%應(yīng)投資于市場(chǎng)，25%投資于國庫券。因此， =0.751+ 0.250=0.75 如果簡單的C A P M模型是有效的，下列各題中哪些情形是有可能的，試說明之。每種情況單獨(dú)考慮。9、不可能。資產(chǎn)組合A的比B高，但其預(yù)期收益率卻低。因此A不會(huì)處于均衡。10可能。如果C A P M是正確的，預(yù)期的收益率僅僅補(bǔ)償用來表示的系統(tǒng)(市場(chǎng))風(fēng)險(xiǎn)而不是包含非系統(tǒng)風(fēng)險(xiǎn)的標(biāo)準(zhǔn)差。因此，A的較低的收益率可能有一個(gè)較高的標(biāo)準(zhǔn)差，要A的值比B小即可。11不可能。資產(chǎn)組合A的酬報(bào)與波動(dòng)性比率要高于市場(chǎng)，根據(jù)C A P M這是不可能的，因?yàn)镃 A P M 認(rèn)為市場(chǎng)是最有效率的資產(chǎn)組合。使用提供的數(shù)據(jù)，有S

6、A= ( 1 6-10)/12=0.5 SM= ( 1 8-1 0 ) / 2 4 = 0 . 3 3數(shù)字結(jié)果表明資產(chǎn)組合A會(huì)提供一個(gè)比市場(chǎng)組合更高的風(fēng)險(xiǎn)報(bào)酬補(bǔ)償收益。12不可能。資產(chǎn)組合A明顯優(yōu)于市場(chǎng)組合。它的標(biāo)準(zhǔn)差較低而預(yù)期收益率卻更高。13不可能。這種情況下的證券市場(chǎng)線為：E(r) = 1 0 + ( 1 8-1 0 ) ，為1 . 5的資產(chǎn)組合的預(yù)期收益率為：E(r) = 1 0 + 1 . 5( 1 8-1 0 ) = 2 2%。A的預(yù)期收益率為1 6%，也就是說A在證券市場(chǎng)線下有一負(fù)的阿爾法值-6%，因此，是一定價(jià)過高的資產(chǎn)組合。這與C A P M模型不一致。14不可能。與1 0題

7、中的證券市場(chǎng)線相同。這里資產(chǎn)組合A要求的預(yù)期收益率為：1 0 + 0 . 9 8 = 1 7 . 2%，仍然高于1 6%。A定價(jià)過高，其阿爾法值為-1 . 2%。15 可能，與8題中的證券市場(chǎng)線相同。資產(chǎn)組合A位于C M L的下方，這與C A P M并不矛盾。 16、一證券的市場(chǎng)價(jià)格為5 0美元，期望收益率為1 4%，無風(fēng)險(xiǎn)利率為6%，市場(chǎng)風(fēng)險(xiǎn)溢價(jià)為8 . 5%。如果這一證券與市場(chǎng)資產(chǎn)組合的協(xié)方差加倍(其他變量保持不變)，該證券的市場(chǎng)價(jià)格是多少？假定該股票預(yù)期會(huì)永遠(yuǎn)支付一固定紅利。如果證券的協(xié)方差加倍，則它的值和風(fēng)險(xiǎn)溢價(jià)也加倍?，F(xiàn)在的風(fēng)險(xiǎn)溢價(jià)為8%( = 1 4%-6%)，因此新的風(fēng)險(xiǎn)溢價(jià)為1

8、 6%，新的折現(xiàn)率為1 6%+ 6%= 2 2%。如果股票支付某一水平的永久紅利，則我們可以從紅利D的原始數(shù)據(jù)知道必須滿足永久債券的等式：價(jià)格=紅利/折現(xiàn)率 5 0 =D/ 0 . 1 4 D= 5 00 . 1 4 = 7 . 0 0美元在新的折現(xiàn)率2 2%的條件下，股票價(jià)值為7美元/ 0 . 2 2 = 3 1 . 8 2美元。股票風(fēng)險(xiǎn)的增加使得它的價(jià)值降低了3 6 . 3 6%。17 根據(jù)CAPM模型，貝塔值為1.0，阿爾法值為0的資產(chǎn)組合的預(yù)期收益率為： a. 在rM和rf之間 b. 無風(fēng)險(xiǎn)利率rf c. (rM - rf) d. 市場(chǎng)預(yù)期收益率rM d18 假定短期國庫券(被認(rèn)為是無

9、風(fēng)險(xiǎn)的)的收益率約為5%。假定一貝塔值為1的資產(chǎn)組合市場(chǎng)要求的期望收益率是12%，根據(jù)資本資產(chǎn)定價(jià)模型(證券市場(chǎng)線)： a. 市場(chǎng)資產(chǎn)組合的預(yù)期收益率是多少？ b. 貝塔值為0的股票的預(yù)期收益率是多少？ c. 假定投資者正考慮買入一股股票，價(jià)格為40美元。該股票預(yù)計(jì)來年派發(fā)紅利3美元。投資者預(yù)期可以以41美元賣出。股票風(fēng)險(xiǎn)的=-0.5，該股票是高估還是低估了？ a. 因?yàn)槭袌?chǎng)組合的定義為1，它的預(yù)期收益率為12%。 b. =0意味著無系統(tǒng)風(fēng)險(xiǎn)。因此，資產(chǎn)組合的公平的收益率是無風(fēng)險(xiǎn)利率，為5%。 c. 運(yùn)用證券市場(chǎng)線， = -0.5的股票公平收益率為： E(r) = 5 + (-0.5) (12

10、-5)=1.5% 利用第二年的預(yù)期價(jià)格和紅利，求得預(yù)期收益率： E(r) = 44 / 40-1=0.10 或10% 因?yàn)轭A(yù)期收益率超過了公平收益，股票必然定價(jià)過低。19 a. A mutual fund with beta of 0.8 has an expected rate of return of 14%. If rf 5%, and you expect the rate of return on the market portfolio to be 15%, should you invest in this fund?What is the funds alpha? b. Wha

11、t passive portfolio comprised of a market-index portfolio and a money market account would have the same beta as the fund? Show that the difference between the expected rate of return on this passive portfolio and that of the fund equals the alpha from part (a). a. E(rP) =rf+ E(rM)- rf = 5%+0.8(15%5

12、%)= 13% = 14%13%=1% You should invest in this fund because alpha is positive. b. The passive portfolio with the same beta as the fund should be invested 80% in the market-index portfolio and 20% in the money market account. For this portfolio: E(rP) = (0.8 15%) + (0.2 5%) = 13% 14% 13% = 1% = 20、根據(jù)上

13、表參照證券市場(chǎng)線作出的資產(chǎn)組合R的圖形，R位于： a. 證券市場(chǎng)線上 b. 證券市場(chǎng)線的下方 c. 證券市場(chǎng)線的上方 d. 數(shù)據(jù)不足 d 21、參照資本市場(chǎng)線作出的資產(chǎn)組合R的圖形，R位于： a. 資本市場(chǎng)線上 b. 資本市場(chǎng)線的下方 c. 資本市場(chǎng)線的上方 d. 數(shù)據(jù)不足 d 22、Karen Kay, a portfolio manager at Collins Asset Management, is using the capital asset pricing model for making recommendations to her clients. Her research

14、department has developed the information shown in the following exhibit. a. Calculate expected return and alpha for each stock. b. Identify and justify which stock would be more appropriate for an investor who wants to i. add this stock to a well-diversified equity portfolio. ii. hold this stock as

15、a single-stock portfolio.B、i. Kay should recommend Stock X because of its positive alpha, compared to Stock Y, which has a negative alpha. In graphical terms, the expected return/risk profile for Stock X plots above the security market line (SML), while the profile for Stock Y plots below the SML. A

16、lso, depending on the individual risk preferences of Kays clients, the lower beta for Stock X may have a beneficial effect on overall portfolio risk. ii. Kay should recommend Stock Y because it has higher forecasted return and lower standard deviation than Stock X. The respective Sharpe ratios for S

17、tocks X and Y and the market index are: Stock X: (14% 5%)/36% = 0.25 Stock Y: (17% 5%)/25% = 0.48 Market index:(14% 5%)/15% = 0.60 The market index has an even more attractive Sharpe ratio than either of the individual stocks, but, given the choice between Stock X and Stock Y, Stock Y is the superio

18、r alternative. When a stock is held as a single stock portfolio, standard deviation is the relevant risk measure. For such a portfolio, beta as a risk measure is irrelevant. Although holding a single asset is not a typically recommended investment strategy, some investors may hold what is essentiall

19、y a single-asset portfolio when they hold the stock of their employer company. For such investors, the relevance of standard deviation versus beta is an important issue.23投資者是一家大型制造公司的咨詢顧問，考慮有一下列凈稅后現(xiàn)金流的項(xiàng)目(單位：百萬美元)項(xiàng)目的貝塔值為1 . 8。假定rf8%，E(rM)1 6%，項(xiàng)目的凈現(xiàn)值是多少？在其凈現(xiàn)值變成負(fù)數(shù)之前，項(xiàng)目可能的最高估計(jì)值是多少？ 該項(xiàng)目適當(dāng)?shù)恼郜F(xiàn)率為： E(rP) =r

20、f+E(rM)-rf=8+1.8(18-8)=26% 使用該折現(xiàn)率，NPV=-40+.(10) (15 /1.26t) =-40 + 15年金因素( 26%, 10年) = 11.97 該項(xiàng)目的內(nèi)部收益率為35.73%。在邊界利率超過無風(fēng)險(xiǎn)利率之前，可取的的最高值由下式?jīng)Q定： 35.73=8+(1 8 - 8 ) = 2 7 . 7 3 / 1 0 = 2 . 7 7 324 Joan McKay is a portfolio manager for a bank trust department. McKay meets with two clients,Kevin Murray and L

21、isa York, to review their investment objectives. Each client expresses an interest in changing his or her individual investment objectives. Both clients currently hold well-diversified portfolios of risky assets. a. Murray wants to increase the expected return of his portfolio. State what action McK

22、ay should take to achieve Murrays objective. Justify your response in the context of the CML. b. York wants to reduce the risk exposure of her portfolio but does not want to engage in borrowing or lending activities to do so. State what action McKay should take to achieve Yorks objective. Justify yo

23、ur response in the context of the SML. a.McKay should borrow funds and invest those funds proportionately in Murrays existing portfolio (i.e., buy more risky assets on margin). In addition to increased expected return, the alternative portfolio on the capital market line will also have increased ris

24、k, which is caused by the higher proportion of risky assets in the total portfolio. b.McKay should substitute low beta stocks for high beta stocks in order to reduce the overall beta of Yorks portfolio. By reducing the overall portfolio beta, McKay will reduce the systematic risk of the portfolio, a

25、nd therefore reduce its volatility relative to the market. The security market line (SML) suggests such action (i.e., moving down the SML), even though reducing beta may result in a slight loss of portfolio efficiency unless full diversification is maintained. Yorks primary objective, however, is no

26、t to maintain efficiency, but to reduce risk exposure; reducing portfolio beta meets that objective. Because York does not want to engage in borrowing or lending, McKay cannot reduce risk by selling equities and using the proceeds to buy risk-free assets (i.e., lending part of the portfolio). 零貝塔證券的

27、預(yù)期收益率是什么？ a. 市場(chǎng)收益率 b. 零收益率 c. 負(fù)收益率 d. 無風(fēng)險(xiǎn)收益率 d 兩個(gè)投資顧問比較業(yè)績。一個(gè)的平均收益率為1 9%，而另一個(gè)為1 6%。但是前者的貝塔值為1 . 5，后者的貝塔值為1。 a. 你能判斷哪個(gè)投資顧問更善于預(yù)測(cè)個(gè)股(不考慮市場(chǎng)的總體趨勢(shì))嗎？ b. 如果國庫券利率為6%，這一期間市場(chǎng)收益率為1 4%，哪個(gè)投資者在選股方面更出色？ c. 如果國庫券利率為3%，這一時(shí)期的市場(chǎng)收益率是1 5%嗎？ r1= 19%；r2= 16%； 1= 1.5； 2=1 a. 要找出哪個(gè)投資者是更好的個(gè)股預(yù)測(cè)家，我們來考察他們的不正常收益，即超過正常的阿爾法值的部分，也就是在

28、實(shí)際收益和根據(jù)證券市場(chǎng)線估計(jì)的收益之間的差額。沒有公式中的有關(guān)信息(無風(fēng)險(xiǎn)利率和市場(chǎng)收益率)，我們無法得出哪個(gè)投資者的預(yù)測(cè)更準(zhǔn)確。 b. 如果rf= 6%且rM= 1 4%，則(用表示非正常收益)有1= 19-6+1.5(14-6)=19-18= 1% 2=16-6+1(14-6)=16-14=2% 這里，第二個(gè)投資者有更高的非正常收益，因此他表現(xiàn)為更準(zhǔn)確的預(yù)測(cè)者。通過更好的預(yù)測(cè)， 第二個(gè)投資者得以在他的資產(chǎn)組合中添加定價(jià)過低的股票。 c. 如果rf= 3%且rM= 1 5%，則有 1=19-3+1.5(15-3)=19-21=-2% 2=16-3+1(15-3)=16-15=1% 這里，不僅

29、第二個(gè)投資者表現(xiàn)為更佳的預(yù)測(cè)者，而且第一個(gè)投資者的預(yù)測(cè)顯得毫無價(jià)值(或更糟)。27 假定借款受到限制，因此零貝塔C A P M模型成立。市場(chǎng)資產(chǎn)組合的期望收益率為1 7%，而零貝塔資產(chǎn)組合的期望收益率為8%。貝塔值為0 . 6的資產(chǎn)組合的預(yù)期收益率是多少？ 在0貝塔值C A P M模型中，0貝塔值資產(chǎn)組合代替了無風(fēng)險(xiǎn)利率，因此， E(r) = 8 + 0 . 6 ( 1 7-8 ) = 1 3 . 4% 28、上表給出了一證券分析家預(yù)期的兩個(gè)特定市場(chǎng)收益情況下的兩只股票的收益。 a. 兩只股票的值是多少？ b. 如果市場(chǎng)收益為5%與2 5%的可能性相同，兩只股票的預(yù)期收益率是多少？ c. 如果

30、國庫券利率6%，市場(chǎng)收益為5%與2 5%的可能性相同，畫出這個(gè)經(jīng)濟(jì)體系的證券市場(chǎng)線( S M L )。 d. 在證券市場(chǎng)線圖上畫出這兩只股票，其各自的阿爾法值是多少？ e. 激進(jìn)型企業(yè)的管理層在具有與防守型企業(yè)股票相同的風(fēng)險(xiǎn)特性的項(xiàng)目中使用的臨界利率是多少？ a. 是股票的收益對(duì)市場(chǎng)收益的敏感程度。稱A為一激進(jìn)型股票，而D為一保守型股票。則是市場(chǎng)收益每變化一個(gè)單位，股票收益的相應(yīng)變化。因此，我們可以通過計(jì)算在兩種假設(shè)情況下股票的收益差別除以市場(chǎng)的收益差別來計(jì)算出該股票的值。 A= (-2-3 8 ) / ( 5-2 5 ) = 2 . 0 0 B= ( 6-1 2 ) / ( 5-2 5 )

31、= 0 . 3 0 b. 在每種情況的可能性相等的情況下，預(yù)期收益率是兩種可能結(jié)果的平均數(shù)。 E(rA) = 0 . 5 (-2 + 3 8 ) = 1 8% E(rB) = 0 . 5 ( 6 + 1 2 ) = 9% c. 證券市場(chǎng)線由市場(chǎng)預(yù)期收益0 . 5 ( 2 5 + 5 ) = 1 5%決定，此時(shí)為1；國庫券的收益率為6%時(shí)， 為零。 見下圖。 證券市場(chǎng)線的公式為：E(r)=6+ (15-6) d. 激進(jìn)型股票有一公平的預(yù)期收益為：E(rA)=6+ 2.0(15-6)=24% 但是，分析家得出的預(yù)期收益是1 8%。因此他的阿爾法值是18%-24%=-6%。相似的，保守型股票要求的收

32、益率為E(rD)=6+0.3(15-6)=8.7%，但是分析家對(duì)D的預(yù)期收益率是9%，因此，股票有一正的阿爾法值： =實(shí)際的預(yù)期收益-要求的收益(風(fēng)險(xiǎn)既定) = 9-8.7=+0.3%。 在圖上每種股票的點(diǎn)如上所示。 e. 邊界利率由項(xiàng)目的值0.3決定，而不是由企業(yè)的值決定。正確的折現(xiàn)率為 8.7%，即股票D的公平的收益率。29a.McKay should borrow funds and invest those funds proportionately in Murrays existing portfolio (i.e., buy more risky assets on margin

33、). In addition to increased expected return, the alternative portfolio on the capital market line will also have increased risk, which is caused by the higher proportion of risky assets in the total portfolio.b.McKay should substitute low beta stocks for high beta stocks in order to reduce the overa

34、ll beta of Yorks portfolio. By reducing the overall portfolio beta, McKay will reduce the systematic risk of the portfolio, and therefore reduce its volatility relative to the market. The security market line (SML) suggests such action (i.e., moving down the SML), even though reducing beta may resul

35、t in a slight loss of portfolio efficiency unless full diversification is maintained. Yorks primary objective, however, is not to maintain efficiency, but to reduce risk exposure; reducing portfolio beta meets that objective. Because York does not want to engage in borrowing or lending, McKay cannot

36、 reduce risk by selling equities and using the proceeds to buy risk-free assets (i.e., lending part of the portfolio).a.Agree; Regans conclusion is correct. By definition, the market portfolio lies on the capital market line (CML). Under the assumptions of capital market theory, all portfolios on th

37、e CML dominate, in a risk-return sense, portfolios that lie on the Markowitz efficient frontier because, given that leverage is allowed, the CML creates a portfolio possibility line that is higher than all points on the efficient frontier except for the market portfolio, which is Rainbows portfolio.

38、 Because Eagles portfolio lies on the Markowitz efficient frontier at a point other than the market portfolio, Rainbows portfolio dominates Eagles portfolio.b.Nonsystematic risk is the unique risk of individual stocks in a portfolio that is diversified away by holding a well-diversified portfolio. T

39、otal risk is composed of systematic (market) risk and nonsystematic (firm-specific) risk.Disagree; Wilsons remark is incorrect. Because both portfolios lie on the Markowitz efficient frontier, neither Eagle nor Rainbow has any nonsystematic risk. Therefore, nonsystematic risk does not explain the di

40、fferent expected returns. The determining factor is that Rainbow lies on the (straight) line (the CML) connecting the risk-free asset and the market portfolio (Rainbow), at the point of tangency to the Markowitz efficient frontier having the highest return per unit of risk. Wilsons remark is also countered by the fact that, since nonsystematic risk can be eliminated by diversification, the expected return for bearing nonsystematic is zero. This is a result of the fact that well-diversified investors bid up the price of every asset to the point where