1a經(jīng)濟因b特有風c.系統(tǒng)風d分散c2按照CAPM模型，假定市場預期收益率15%，無風險利率=8%XY 的預期收益率=1XYZ 值=1.2aXYZ被高b.XYZ是公平定c.XYZ 值為-0.2d.XYZ 值為0.2d第3至第5題中假定無風險利率6%，市場收益率是16% 今天的售價為50 值為1.2。 的β等于1，它的預期收益率應該等于市場收益率，即6+1.2(16-6)=18%。E(r)=(D1+P1-P0)0.18=(6+P1-50)/5 =54、投資者購入一企業(yè)，其預期的現(xiàn)金流為1000，但因有風險而不確定。如果投資者認為企業(yè)的值是0.5，當值實際為1時，投資者愿意支付的金額比假定1000是型債券。如果β是05，現(xiàn)6%+0.5×(16%-6%)=PV=1000/0.11=96%，支付給企業(yè)的價格就應該為：PV=1000/0.16=6250，其中的差額為2840.91，是你多支付的部分，如果你錯誤地將β視為05而 利 市場線：4=6+β(16-6β=-2/10=-0.6 市場線描述的是 的預期收益率與其系統(tǒng)風險的關(guān)系b.市場資產(chǎn)組合是風險性 收益與指數(shù)收益的關(guān)系d由市場資產(chǎn)組合與無風險資產(chǎn)組成的完a7、如果rf＝6%E(rM)＝14%E(rP)＝1的資產(chǎn)組合的值等于多少E(rP)=rf+β[E(rM)-18=6+(14-6∴β=12/8=1.8、以下說法是對還是錯aβ值為零的的預期收益率為零bCAPM模型表明如果要投資者持有高風險的，相應地也要求更高的回報率。c.通過將075的投資投入到國庫券，0.75的資產(chǎn)組合。a錯。β=0說明E(rPrf，而不是零b錯。投資者僅要求承擔系統(tǒng)風險(不可分c.錯。你的資產(chǎn)組合的75%25%投資于國庫券。因此β=0.75×1+如果簡單的CAPM模型是有效的，下列各題中哪9可能。如果CAPM是正確的，預期的收益于市場，根據(jù)CAPM這是不可能的，因為CAPM認為市場是最有效率的資產(chǎn)組合。使用提供的數(shù)據(jù)，有SA=16-10)/12=0.5SM=18-10)/24=0.3 不可能。這種情況下 10β(18-10，β為15的預期收益率為：E(r)1015×(110)=22%。A的預期收益率為16%，也 與CAPM模型不一致。不可能。與10題中的 期收益率為：10+0.9×8=17.2%，仍然高于16%。A定價 值為-1.2%。 合A位于CML的下方，這與CAPM并不矛16、一的市場價格為50，期望收益率為14%，無風險利率為6%，市場風險溢價為85%。如果這一與市場資產(chǎn)組券的市場價格是多少？假定該預期會支付一固定紅利 溢價為8%(=14%-6%)，因此新的風險溢價為16%，新的折現(xiàn)率為16%+6%=22%。 50=D/0.1D=50×0.14=7.0在新的折現(xiàn)率22%的條件下 價值為 /0.22=31.82元 風險的增加使得它的價值降低了36.36% a.在rM和rfb.無風險利率c.(rM-d.市場預期收益率d 市場線a c.假定投資者正考慮買入一股 a因為市場組合的β定義為112%bβ=0意味著無系統(tǒng)風險。因此，資產(chǎn)組合的公c.運 市場線，β=-0.5 E(r)=5+(-0.5)(12-E(r)4440-1=0.10或 a.Amutualfundwithbetaof0.8hasanexpectedrateofreturnof14%.Ifrf5%,andyouexpecttherateofreturnonthemarketportfoliotobe15%,shouldyouinvestinthisfund?Whatisthefund’salpha?b.Whatpassiveportfoliocomprisedofamarket-indexportfolioandamoneymarketaccountwouldhavethesamebetaasthefund?Showthatthedifferencebetweentheexpectedrateofreturnonthispassiveportfolioandthatofthefundequalsthealphafrompart(a). E(rP)=rf+β[E(rM)-rf]=5%+0.8(15%?5%)==Youshouldinvestinthisfundbecausealphais Thepassiveportfoliowiththesamebetaasthefundshouldbeinvested80%inthemarket-indexportfolioand20%inthemoneymarketaccount.Forthisportfolio:E(rP)=(0.8×15%)+(0.2×5%)=14%?13%=1%= 市場線 市場線的下 市場線的上d數(shù)據(jù)不da資本市場線b.資本市場線的下c.資本市場線的上d數(shù)據(jù)不d22、KarenKay,aportfoliomanageratCollinsAsset isusingthecapitalassetpricingmodelfor mendationstoherclients.Herresearch asdevelopedtheinformationshowninthefollowingexhibit.a.Calculateexpectedreturnandalphaforeachb.Identifyandjustifywhichstockwouldbemoreappropriateforaninvestorwhowantstoi.addthisstocktoawell-diversifiedequityii.holdthisstockasasingle-stockB、i.Kayshould mendStockXbecauseofitspositivealpha,comparedtoStockY,whichhasanegativealpha.Ingraphicalterms,theexpectedreturn/riskprofileforStockXplotsabovethesecuritymarketline(SML),whiletheprofileforStockYplotsbelowtheSML.Also,dependingontheindividualriskpreferencesofKay’sclients,thelowerbetaforStockXmayhaveabeneficialeffectonoverallportfoliorisk.ii.Kayshould mendStockYbecauseithashigherforecastedretu dlowerstandarddeviationthanStockX.TherespectiveSharperatiosforStocksXandYandthemarketindexare:Stock (14%5%)/36%=Stock (17%5%)/25%=Market (14%5%)/15%=ThemarketindexhasanevenmoreattractiveSharperatiothaneitheroftheindividualstocks,but,giventhechoicebetweenStockXandStockY,StockYisthesuperioralternative.Whenastockisheldasasinglestockportfolio,standarddeviationistherelevantriskmeasure.Forsuchaportfolio,betaasariskmeasureis oughholdingasingleassetisnota mendedinvestmentstrategy,some holdwhatisessentiallyasingle-assetportfoliowhentheyholdthestockoftheiremployercompany.Forsuchinvestors,therelevanceofstandarddeviationversusbetaisanimportantissue. 值為1.8。假定rf＝8%，E(rM)＝16%，項目的凈現(xiàn)E(rP)=rf+β[E(rM)-rf]=8+1.8(18-使用該折現(xiàn)率，NPV=-40+.(10(15/1.26t15×年金因素26%10年 35.73=8+β(18-8β=27.73/10=2.77JoanMcKayisaportfoliomanagerforabanktrustdepartment.McKaymeetswithtwoclients,KevinMurrayandLisaYork,toreviewtheirinvestmentobjectives.Eachclientexpressesaninterestinchanginghisorherindividualinvestmentobjectives.Bothclientscurrentlyholdwell-diversifiedportfoliosofriskyassets.a.Murraywantstoincreasetheexpectedreturnofhisportfolio.Statewh tionMcKayshouldtaketoachieveMurray’sobjective.JustifyyourresponseinthecontextoftheCML.b.Yorkwantstoreducetheriskexposureofherportfoliobutdoesnotwanttoengageinborrowingorlendingactivitiestodoso.Statewh tionMcKayshouldtaketoachieveYork’sobjective.JustifyyourresponseinthecontextoftheSML. McKayshouldborrowfundsandinvestthosefunds yinMurray’sexistingportfolio(i.e.,buymoreriskyasetsonmargin).Inadditiontoincreasedexpectedreturn,thealternativeportfolioonthecapitalmarketlinewillalsohaveincreasedrisk,whichiscausedbythehigherproportionofriskyassetsinthetotal McKayshouldsubstitu owbetastocksforhighbetastocksinordertoredu theoverallbetaofYork’sportfolio.Byreducingtheoverallportfoliobeta,McKaywillreducethesystematicriskoftheportfolio,andthereforereduceitsvolatilityrelativetothemarket.Thesecuritymarketline(SML)suggestssuchaction(i.e.,movingdowntheSML),eventhoughreducingbetamayresultinaslightlossofportfolioefficiencyunlessfulldiversificationismaintained.York’sprimaryobjective,however,isnottomaintainefficiency,buttoreduceriskexposure;reducingportfoliobetameetsthatobjective.BecauseYorkdoesnotwanttoengageinborrowingorlending,McKaycannotreduceriskbysellingequitiesandusingtheproceedstobuyrisk-freeassets(i.e.,lendingpartoftheportfolio). 的預期收益率是什么a市場收益b零收益c.負收益d無風險收益d9%，而另一個為16%。但是前者 值為15，后者 值為1a.你能判斷哪個投資顧問更 b如果國庫券利率為6%14%c.如果國庫券利率為3%，這一時期的市場收益率是15%嗎？r1=19%；r2=16%；β1=1.5；a.要找出哪個投資者是更好的個股 更準確b如果rf6%且rM14%，則α(用表示非正常收益)有α1=19-[6+1.5(14-6)]=19-18=1%α2=16-[6+1(14-6)]=16- ，第二個投資者得以在他的資產(chǎn)組 c.如果rf3%且rM15%，則α1=19-[3+1.5(15-3)]=19-21=-α2=16-[3+1(15-3)]=16-測者，而且第一個投資者的顯得毫無 CAPM模 值為0.6的資產(chǎn)組合的預期收益率是 值CAPM模型中，0 E(r)=8+0.6(17-8)=13. a.兩 b.如果市場收益為5%與25%的可能性相同，兩只 c.如果國庫券利率6%，市場收益為5%與25%的可能性相 市場線(SML)。d.在 e.激進型企業(yè)的管理層在具有與防守型企業(yè) a.β是 βA=(-2-38)/(5-25)=2.0βB=(6-12)/(5-25)=0.3b在每種情況的可能性相等的情況下，預E(rA)=0.5(-2+38)=1E(rB)=0.5(6+12)= 市場線由市場預期收益0525515%決定，此時β為1；國庫券的收益率為6%時β為零。見下圖市場線的公式為E(r)=6+β(15-d.激進型 但是，分析家得出的預期收益是18%。因此他的 值：α=實際的預期收益-要求的收益(風險既定)=9-8.7=+0.3%。在圖上每 的點如上所示e.邊界利率由項目的β值0.3決定，而不是 McKayshouldborrowfundsandinvestthosefunds yinMurray’sexistingportfolio(i.e.,buymoreriskyassets nmargin).Inadditiontoincreasedexpectedreturn,thealternativeportfolioonthecapitalmarketlinewillalsohaveincreasedrisk,whichiscausedbythehigherproportionofriskyassetsinthetotalportfolio. McKayshouldsubstitu owbetastocksforhighbetastocksinordertoreducetheoverallbetaofYork’sportfolio.Byreducingtheoverallportfoliobeta,McKaywillreducethesystematicriskoftheportfolio,andthereforereduceitsvolatilityrelativetothemarket.Thesecuritymarketline(SML)suggestssuchaction(i.e.,movingdowntheSML),eventhoughreducingbetamayresultinaslightlossofportfolioefficiencyunlessfulldiversificationismaintained.York’sprimaryobjective,however,isnottomaintainefficiency,buttoreduceriskexposure;reducingportfoliobetameetsthatobjective.BecauseYorkdoesnotwanttoengageinborrowingorlending,McKaycannotreduceriskbysellingequitiesandusingtheproceedstobuyrisk-freeassets(i.e.,lendingpartoftheportfolio). Agree;Regan’sconclusioniscorrect.Bydefinition,themarketportfolioliesonthecapitalmarketline(CML).Undertheassumptionsofcapitalmarkettheory,allportfoliosontheCMLdominate,inarisk-returnsense,portfoliosthatlieontheMarkowitzefficientfrontierbecause,giventhatleverageisallowed,theCMLcreatesaportfoliopossibilitylinethatishigherth lpointsontheefficientfrontierexceptforthemarketportfolio,whichisRainbow’sportfolio.BecauseEagle’sportfolioliesontheMarkowitzefficientfrontieratapointotherthanthemarketportfolio,Rainbow’sportfoliodominatesEagle’sportfolio. Nonsystematicriskistheuniqueriskofindividualstocksinaportfoliothatisdiversifiedawaybyholdingawell-diversifiedportfolio.Totalriskiscomposedofsystematic(market)riskandnonsystematic(firm-specific)risk.Disagree;Wilson’sremarkisincorrect.BecausebothportfolioslieontheMarkowitzefficientfrontier,neitherEaglenorRainbowhasanynonsystematicrisk.Therefore,nonsystematicriskdoesnotexplainthedifferentexpectedreturns.ThedeterminingfactoristhatRainbowliesonthe(straight)line(theCML)connectingtherisk-freeassetandthemarketportfolio(Rainbow),atthepointoftangencytotheMarkowitzefficientfrontierhavingthehighestreturnperunitofrisk.Wilson’sremarkisalsocounteredbythefactthat,sincenonsystematicriskcanbeeliminatedbydiversification,theexpectedreturnforbearingnonsystematiciszero.Thisisaresultofthefactthatwell-diversifiedinvestorsbidupthepriceofeveryassettothepointwhereonlysystematicriskearnsapositivereturn(nonsystematicriskearnsnoreturn)