chapter 9投资作业-chapter 15习题

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1、习题Chapter93.Youareaconsultanttoalargemanufacturingcorporationthatisconsideringaprojectwiththefollowingnetafter-taxcashflows(inmillionsofdollars):Theproject’sbetais1.8.Assumingthat,whatisthenetpresentvalueoftheproject?Whatisthehighestpossiblebetaestimatefortheprojectbeforeit

2、sNPVbecomesnegative?4.Arethefollowingtrueorfalse?Explain.a.Stockswithabetaofzeroofferanexpectedrateofreturnofzero.b.TheCAPMimpliesthatinvestorsrequireahigherreturntoholdhighlyvolatilesecurities.c.Youcanconstructaportfoliowithbetaof.75byinvesting.75oftheinvestmentbudgetinT-b

3、illsandtheremainderinthemarketportfolio.Inproblems13to15assumethattherisk-freerateofinterestis6%andtheexpectedrateofreturnonthemarketis16%.13.Ashareofstocksellsfor$50today.Itwillpayadividendof$6pershareattheendoftheyear.Itsbetais1.2.Whatdoinvestorsexpectthestocktosellforatt

4、heendoftheyear?14.Iambuyingafirmwithanexpectedperpetualcashflowof$1,000butamunsureofitsrisk.IfIthinkthebetaofthefirmis.5,wheninfactthebetaisreally1,howmuchmorewillIofferforthefirmthanitistrulyworth?15.Astockhasanexpectedrateofreturnof4%.Whatisitsbeta?17.Supposetherateofretu

5、rnonshort-termgovernmentsecurities(perceivedtoberiskfree)isabout5%.Supposealsothattheexpectedrateofreturnrequiredbythemarketforaportfoliowithabetaof1is12%.Accordingtothecapitalassetpricingmodel(securitymarketline):a.Whatistheexpectedrateofreturnonthemarketportfolio?b.Whatwo

6、uldbetheexpectedrateofreturnonastockwithbeta＝0?c.Supposeyouconsiderbuyingashareofstockat$40.Thestockisexpectedtopay$3dividendsnextyearandyouexpectittosellthenfor$41.Thestockriskhasbeenevaluatedatbeta＝－0.5.Isthestockoverpricedorunderpriced?21.Thesecuritymarketlinedepicts:a.A

7、security’sexpectedreturnasafunctionofitssystematicrisk.b.Themarketportfolioastheoptimalportfolioofriskysecurities.c.Therelationshipbetweenasecurity’sreturnandthereturnonanindex.d.Thecompleteportfolioasacombinationofthemarketportfolioandtherisk-freeasset.22.Withinthecontexto

8、fthecapitalassetpricingmodel(CAPM),assume:•Expectedreturnonthemarket＝15%.•Risk-fre