chapter-9投资作业-chapter-15习题.docVIP

习题 Chapter 9 3. You are a consultant to a large manufacturing corporation that is considering a project with the following net after-tax cash flows (in millions of dollars): The project’s beta is 1.8. Assuming that, what is the net present value of the project? What is the highest possible beta estimate for the project before its NPV becomes negative? 4. Are the following true or false? Explain. a. Stocks with a beta of zero offer an expected rate of return of zero. b. The CAPM implies that investors require a higher return to hold highly volatile securities. c. You can construct a portfolio with beta of .75 by investing .75 of the investment budget in T-bills and the remainder in the market portfolio. In problems 13 to 15 assume that the risk-free rate of interest is 6% and the expected rate of return on the market is 16%. 13. Ashare of stock sells for $50 today. It will pay a dividend of $6 per share at the end of the year. Its beta is 1.2. What do investors expect the stock to sell for at the end of the year? 14. I am buying a firm with an expected perpetual cash flow of $1,000 but am unsure of its risk. If I think the beta of the firm is .5, when in fact the beta is really 1, how much more will I offer for the firm than it is truly worth? 15. A stock has an expected rate of return of 4%. What is its beta? 17. Suppose the rate of return on short-term government securities (perceived to be riskfree) is about 5%. Suppose also that the expected rate of return required by the market for a portfolio with a beta of 1 is 12%. According to the capital asset pricing model (security market line): a. What is the expected rate of return on the market portfolio? b. What would be the expected rate of return on a stock with beta＝0? c. Suppose you consider buying a share of stock at $40. The stock is expected to pay $3 dividends next year and you expect it to sell then for $41. The stock risk has been evaluated at beta＝－0.5. Is the stock overpriced or underpriced? 21. The securi