1. You own a portfolio invested 12.35% in Stock A, 12.21% in Stock B, 12.87% in Stock C, and the remainder in Stock D. The betas of these four stocks are 1.49, 0.74, 0.58, and 1.45. What is the portfolio beta?
2. Calculate the expected returns of your portfolio
|
Stock
|
Invest
|
Exp Ret
|
|
A
|
$204
|
8.2%
|
|
B
|
$994
|
14.4%
|
|
C
|
$1,210
|
27.6%
|
3. You own a portfolio invested 27.19% in Stock A, 11.48% in Stock B, 17.15% in Stock C, and the remainder in Stock D. The beta of these four stocks are 0.76, 1.25, 0.36, and 1.38. What is the portfolio beta?
4. Suppose the returns for Stock A for last six years was 4%, 7%, 8%, -2%, 9%, and 7%. Compute the standard deviation of the returns.
5. Suppose a stock had an initial price of $96.73 per share, paid a dividend of $7.3 per share during the year, and had an ending share price of $103.32. What are the percentage returns if you own 25 shares?
6. Calculate the expected returns of your portfolio
|
Stock
|
Invest
|
Exp Ret
|
|
A
|
$495
|
4.3%
|
|
B
|
$925
|
17.1%
|
|
C
|
$374
|
25.5%
|
7. Suppose a stock had an initial price of $79.99 per share, paid a dividend of $6.8 per share during the year, and had an ending share price of $104.49. What are the percentage returns?
8. Suppose a stock had an initial price of $72.88 per share, paid a dividend of $4.7 per share during the year, and had an ending share price of $106.67. What are the dollar returns?
9. Suppose a stock had an initial price of $84.29 per share, paid a dividend of $5.3 per share during the year, and had an ending share price of $94.61. If you own 364 shares, what are the dollar returns?
10. Suppose a stock had an initial price of $84.36 per share, paid a dividend of $5.1 per share during the year, and had an ending share price of $107.65. What are the percentage returns?
11. A portfolio is invested 37.7% in Stock A, 26.6% in Stock B, and the remainder in Stock C. The expected returns are 19%, 26.1%, and 11.8% respectively. What is the portfolio's expected returns?
12. You have observed the following returns on ABC's stocks over the last five years: 2.7%, 9.2%, -6.8%, 12.2%, -6.4% what the arithmetic average returns on the stock is over this five-year period.
13. Based on the following information, calculate the expected returns:
|
|
Prob
|
Return
|
|
Recession
|
30%
|
47.4%
|
|
Boom
|
70%
|
12.7%
|
14. What is the beta of the following portfolio?
|
Stock
|
Value
|
Beta
|
|
J
|
$21,600
|
1.48
|
|
K
|
13,000
|
1.13
|
|
L
|
46,000
|
.88
|
|
M
|
19,800
|
1.08
|
15. You own a portfolio of two stocks, A and B. Stock A is valued at $6,540 and has an expected return of 11.2 percent. Stock B has an expected return of 8.1 percent. What is the expected return on the portfolio if the portfolio value is $9,500?
- 9.58 percent
- 9.62 percent
- 9.74 percent
- 9.97 percent
- 10.23 percent
16. Portfolio diversification eliminates which one of the following?
- Total investment risk
- Portfolio risk premium
- Market risk
- Unsystematic risk
- Reward for bearing risk
17. The systematic risk is same as:
- Unique risk
- Diversifiable risk
- Asset-specific risk
- Market risk
- Unsystematic risk
18. The stock of Billingsley United has a beta of 0.92. The market risk premium is 8.4 percent and the risk-free rate is 3.2 percent. What is the expected return on this stock?
- 8.87 percent
- 9.69 percent
- 10.93 percent
- 11.52 percent
- 12.01 percent
19. Standard deviation measures _____ risk while beta measures _____ risk.
- systematic; unsystematic
- unsystematic; systematic
- total; unsystematic
- total; systematic
- asset-specific; market
20. What is the beta of the following portfolio?
|
Stock
|
Value
|
Beta
|
|
S
|
$32,800
|
0.97
|
|
T
|
16,700
|
1.26
|
|
U
|
21,100
|
0.79
|
|
V
|
4,600
|
1.48
|
21. You own a portfolio that has $1,900 invested in Stock A and $2,700 invested in Stock B. If the expected returns on these stocks are 9 percent and 15 percent, respectively, what is the expected return on the portfolio?
- 10.57 percent
- 11.14 percent
- 11.96 percent
- 12.52 percent
- 13.07 percent
22. A $36,000 portfolio is invested in a risk-free security and two stocks. The beta of stock A is 1.29 while the beta of stock B is 0.90. One-half of the portfolio is invested in the risk-free security. How much is invested in stock A if the beta of the portfolio is 0.58?
- $6,000
- $9,000
- $12,000
- $15,000
- $18,000
23. Suppose the nominal rate is 12.5% and the inflation rate is 5.87%. Solve for the real rate. Use the Fisher Effect formula.
24. Semi-strong-form efficient markets are not weak-form efficient.
25. If markets are efficient, the difference between the instrinsic value and the market value of the comapny's security is: