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Tài liệu bài tập thưc hành môn Tài chính doanh nghiệp_ Chapter 10 | Chapter 10 Return and Risk The Capital Asset Pricing Model CAPM 10.1 a. Expected Return 0.1 -0.045 .2 0.044 0.5 0.12 0.2 0.207 0.1057 10.57 The expected return on Q-mart s stock is 10.57 . b. Variance ct2 0.1 -0.045 - 0.1057 2 0.2 0.044 - 0.1057 2 0.5 0.12 - 0.1057 2 0.2 0.207 - 0.1057 2 0.005187 Standard Deviation ct 0.005187 1 2 0.0720 7.20 The standard deviation of Q-mart s returns is 7.20 . 10.2 a. Expected ReturnA 1 3 0.063 1 3 0.105 1 3 0.156 0.1080 10.80 The expected return on Stock A is 10.80 . Expected ReturnB 1 3 -0.037 1 3 0.064 1 3 0.253 0.933 9.33 The expected return on Stock B is 9.33 . b. VarianceA cta2 1 3 0.063 - 0.108 2 1 3 0.105 - 0.108 2 1 3 0.156 - 0.108 2 0.001446 Standard DeviationA cta 0.001446 1 2 0.0380 3.80 The standard deviation of Stock A s returns is 3.80 . VarianceB ctb2 1 3 -0.037 - 0.0933 2 1 3 0.064 - 0.0933 2 1 3 0.253 - 0.0933 2 0.014447 Standard DeviationB ctb 0.014447 1 2 0.1202 12.02 The standard deviation of Stock B s returns is 12.02 . c. Covariance RA RB 1 3 0.063 - 0.108 -0.037 - 0.0933 1 3 0.105 - 0.108 0.064 - 0.933 1 3 0.156 - 0.108 0.253 - 0.0933 0.004539 The covariance between the returns of Stock A and Stock B is 0.004539. Correlation RA RB Covariance RA RB cta ctb 0.004539 0.0380 0.1202 0.9937 The correlation between the returns on Stock A and Stock B is 0.9937. 10.3 a. Expected ReturnHB 0.25 -0.02 0.60 0.092 0.15 0.154 0.0733 7.33 The expected return on Highbull s stock is 7.33 . Expected ReturnSB 0.25 0.05 0.60 0.062 0.15 0.074 0.0608 6.08 The expected return on Slowbear s stock is 6.08 . b. Variance- cthb2 0.25 -0.02 - 0.0733 2 0.60 0.092 - 0.0733 2 0.15 0.154 - 0.0733 2 0.003363 Standard DeviationA cthb 0.003363 1 2 0.0580 5.80 The standard deviation of Highbear s stock returns is 5.80 . Variance.- ctsb2 0.25 0.05 - 0.0608 2 0.60 0.062 - 0.0608 2 0.15 0.074 - 0.0608 2 0.000056 Standard Deviation ctb 0.000056 1 2 0.0075 0.75 The standard deviation of Slowbear s stock returns is 0.75 . c. Covariance RHB RSB 0.25 .
