9，Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio...
9，Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be: -18% in recession, +11% in moderate growth, and +36% in a boom. Estimates for the market as a whole in the same economic states are -10% in recession, +9% in moderate growth, and +21% in boom. The analyst considers each state to be equally likely. Using these data, compute the beta of Drucker Corporation's stock.
————
Place your answer as a number with at least three decimal
places.
10，If the expected return on the market portfolio is estimated to
be 15%, the risk-free rate of interest is
6%, and the beta of asset i is
0.70, what is the expected return on asset i using
CAPM model?
——————%
Homework Answers
9)
Formulae
10)
Expected return on asset = Risk free rate + Beta * Market risk premium
Market risk premium = 15% - 6% = 9%
Expected return on asset = 6% + 0.7* 9% = 12.3%
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9，Financial analysts have estimated the returns on shares of
Drucker Corporation and the overall market portfolio...
Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio...
Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be: -16% in recession, +11% in moderate growth, and +36% in a boom. Estimates for the market as a whole in the same economic states are -8% in recession, +8% in moderate growth, and +21% in boom. The analyst considers each state to...
Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio...
Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be:-18% in recession, +9% in moderate growth, and +36% in a boom. Estimates for the market as a whole in the same economic states are-12% in recession, +6% in moderate growth, and +22% in boom. The analyst considers each state to be equally...
4. Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market...
4. Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be: -18% in recession, +9% in moderate growth, and +33% in a boom. Estimates for the market as a whole in the same economic states are -10% in recession, +10% in moderate growth, and +22% in boom. The analyst considers each state...
Financial analysts have estimated the returns on shares of Drucker Corporation portfolio under various economic conditions...
Financial analysts have estimated the returns on shares of Drucker Corporation portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be:-15% in recession, +12% in moderate growth, and +36% in a boom. Estimates for the market as a whole in the same economic states are-12% in recession, +7% in moderate growth, and +21 % in boom. The analyst considers each state to be equally likely. Using these...
The returns in each scenario for the market portfolio, an aggressive stock A, and a defensive stock D are
(2) An economy has two scenarios: boom or bust. The returns in each scenario for the market portfolio, an aggressive stock A, and a defensive stock D are (a) If each scenario is equally likely, find the beta of each stock. (b) Find the expected rate of return on the market portfolio and on each stock. (c) If the treasury bill rate is 4%, what does CAPM say about the fair expected rate of return on the two stocks?
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You have prepared the following scenario analysis for the returns of the market index portfolio, M, and a stock. Assume that each scenario is equally likely. 1. Rate of return Scenario Bust Boom Market 10% 30% Stock 14% 26% a. Find the variance of the market and the stock, and beta of the stock. b. What is the expected rate of return on the stock and the market index? If the T-bill rate is 6 percent, what does the CAPM...
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You have prepared the following scenario analysis for the returns of the market index portfolio, M, and a stock. Assume that each scenario is equally likely. 1. Rate of return Scenario Bust Boom Market 10% 30% Stock 14% 26% a. Find the variance of the market and the stock, and beta of the stock. b. What is the expected rate of return on the stock and the market index? If the T-bill rate is 6 percent, what does the CAPM...
6. You have estimated returns of Twitter and Apple under different economic states. If you create...
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Financial analysts have estimated the returns on shares of Drucker Corporation and the overall market portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be:-18% in recession, +9% in moderate growth, and +36% in a boom. Estimates for the market as a whole in the same economic states are-12% in recession, +6% in moderate growth, and +22% in boom. The analyst considers each state to be equally...
Financial analysts have estimated the returns on shares of Drucker Corporation portfolio under various economic conditions as follows. The return for Drucker in the following three economic states of nature are forecasted to be:-15% in recession, +12% in moderate growth, and +36% in a boom. Estimates for the market as a whole in the same economic states are-12% in recession, +7% in moderate growth, and +21 % in boom. The analyst considers each state to be equally likely. Using these...
You have prepared the following scenario analysis for the returns of the market index portfolio, M, and a stock. Assume that each scenario is equally likely. 1. Rate of return Scenario Bust Boom Market 10% 30% Stock 14% 26% a. Find the variance of the market and the stock, and beta of the stock. b. What is the expected rate of return on the stock and the market index? If the T-bill rate is 6 percent, what does the CAPM...
You have prepared the following scenario analysis for the returns of the market index portfolio, M, and a stock. Assume that each scenario is equally likely. 1. Rate of return Scenario Bust Boom Market 10% 30% Stock 14% 26% a. Find the variance of the market and the stock, and beta of the stock. b. What is the expected rate of return on the stock and the market index? If the T-bill rate is 6 percent, what does the CAPM...
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