财务管理基第二单元课后答案.docVIP

2-1 = (0.1)(-50%) + (0.2)(-5%) + (0.4)(16%) + (0.2)(25%) + (0.1)(60%) = 11.40%. ?2 = (-50% - 11.40%)2(0.1) + (-5% - 11.40%)2(0.2) + (16% - 11.40%)2(0.4) + (25% - 11.40%)2(0.2) + (60% - 11.40%)2(0.1) ?2 = 712.44; ? = 26.69%. CV = = 2.34. 2-2 Investment Beta $35,000 0.8 40,000 1.4 Total $75,000 bp = ($35,000/$75,000)(0.8) + ($40,000/$75,000)(1.4) = 1.12. 2-3 kRF = 5%; RPM = 6%; kM = ? kM = 5% + (6%)1 = 11%. k when b = 1.2 = ? k = 5% + 6%(1.2) = 12.2%. 2-4 kRF = 6%; kM = 13%; b = 0.7; k = ? k = kRF + (kM - kRF)b = 6% + (13% - 6%)0.7 = 10.9%. 2-5 a. k = 11%; kRF = 7%; RPM = 4%. k = kRF + (kM – kRF)b 11% = 7% + 4%b 4% = 4%b b = 1.  b. kRF = 7%; RPM = 6%; b = 1. k = kRF + (kM – kRF)b k = 7% + (6%)1 k = 13%. 2-6 a. . = 0.1(-35%) + 0.2(0%) + 0.4(20%) + 0.2(25%) + 0.1(45%) = 14% versus 12% for X. b. ? = . = (-10% - 12%)2(0.1) + (2% - 12%)2(0.2) + (12% - 12%)2(0.4) + (20% - 12%)2(0.2) + (38% - 12%)2(0.1) = 148.8%. ?X = 12.20% versus 20.35% for Y. CVX = ?X/X = 12.20%/12% = 1.02, while CVY = 20.35%/14% = 1.45. 2-7 a. ki = kRF + (kM - kRF)bi = 9% + (14% - 9%)1.3 = 15.5%. b. 1. kRF increases to 10%: kM increases by 1 percentage point, from 14% to 15%. ki = kRF + (kM - kRF)bi = 10% + (15% - 10%)1.3 = 16.5%. 2. kRF decreases to 8%: kM decreases by 1%, from 14% to 13%. ki = kRF + (kM - kRF)bi = 8% + (13% - 8%)1.3 = 14.5%. c. 1. kM increases to 16%: ki = kRF + (kM - kRF)bi = 9% + (16% - 9%)1.3 = 18.1%. 2. kM decreases to 13%: ki = kRF + (kM - kRF)bi = 9% + (13% - 9%)1.3 = 14.2%. 2-8 Old portfolio beta = (b) + (1.00) 1.12 = 0.95b + 0.05 1.07 = 0.95b 1.1263 = b. New portfolio beta = 0.95(1.1263) + 0.05(1.75) = 1.1575 ? 1.16. Alternative Solutions: 1. Old portfolio beta = 1.12 = (0.05)b1 + (0.05)b2 + ... + (0.05)b20 1.12 = (0.05) = 1.12/0.05 = 22.4. New portfolio beta = (22.4 - 1.0 + 1.75)(0.05) = 1.1575 ? 1.16. 2. excluding the stock with the beta equal to 1