a. Expected return of market =10%
b. Variance of the market =100%2
c. Expected return of stock J = 15%
d. Covariance of market and stock = 215%2
e. Beta =2.15
3. Expected return and CAPM Suppose the risk-free rate is 4% and the market portfolio and...
3. Expected return and CAPM Suppose the risk-free rate is 4% and the market portfolio and stock j have the following return distributions: Probability in tot Market return -.15 .05 .15 .20 Return for i --30 .00 .20 .50 a. Find the expected market return, Im. b. Find the variance of the market return, c. Find the expected return for stock j, r;. d. Find the covariance of j and the market, Oim. e. What is J's beta?
has expected of (15 points) Suppose the risk-free rate is 6.3% and the market portfolio return of 14.8%. The market portfolio has a variance of 0.0121. Portfolio Z has a correlation coefficient with the market of 0.45 and a variance of 0.0169. According to CAPM, what is the expected rate of return on portfolio Z? 4" an rate
4" (15 points) Suppose the risk-free rate is 6.3% and the market portfolio has an expected rate of return of 14.8%. The market portfolio has a variance of 0.0121. Portfolio Z has a correlation coefficient with the market of 0.45 and a variance of 0.0169. According to CAPM, what is the expected rate of return on portfolio Z?
Suppose that the expected return of a stock is 12%, the risk-free rate is 1%, the expected return of the market portfolio is 7%, and the beta of the stock with respect to the market portfolio is 1.0. What is the difference between the expected return of the stock and expected return that results from the CAPM for such stock (i.e. expected return - expected return from CAPM)? 3.80% 4.40% 5.00% 5.60%
6. Assume the CAPM with risk-free lend- ing but no risk-free borrowing. Suppose the return on the market portfolio is 9 percent, and the return on a zero beta folio is 5 percent. You have combined two assets in a portfolio with equal weights. The expected returns on the two assets are 7 percent and 15 percent. What is the beta of this portfolio? port- (а). О.50 (b). 0.67 (с). 1.50 (d). 2.75
Assume that the risk-free rate is 9% and that the market portfolio has an expected return of 17%. Under equilibrium conditions as described by the CAPM, what would be the expected return for a portfolio having no diversifiable risk and a beta of 0.75?
Consider the CAPM. The risk-free rate is 5%, and the expected return on the market is 14%. What is the expected return on a stock with a beta of 1.2? Multiple Choice 22% 17.8% 12.5% 15.8%
Question 6 The risk-free interest rate is 4% and the expected return on the market portfolio is 10%. Scott, a portfolio manager, runs a portfolio that has a beta of 2/3 and an average annual return of 9% per year. Based on the CAPM, what is the abnormal return (i.e. α) of Scott’s portfolio? ______% (Note: if you find out that there’s no abnormal return, then just input 0 as your answer.)
Consider the CAPM. The risk-free rate is 5%, and the expected return on the market is 17%. What is the expected return on a stock with a beta of 1.5? A. 31% B. 28% C. 13% D. 23%
Consider the CAPM. The risk-free rate is 6%, and the expected return on the market is 18%. What is the expected return on a stock with a beta of 1.3? Multiple Choice o 6% o 15.6% o 18% o 21.6%