Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 7

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复旦大学经济学综合基础考研复习指南翔高教育真题笔记课件微观经济学高鸿业圣才辅导配套宏观经济学高鸿业（次要）经济学硕士856经济学《政治经济学教材》蒋学模主编上海人民出版社《微观经济学》陈钊陆铭高等教育出版社《宏观经济学》袁志刚高等教育出版社《现代西方经济学习题指南》伊伯成复旦大学出版社《国际经济学》华民复旦大学出版社工商管理学硕860微观经济学高鸿业《微观经济学》平狄克《微观经济学》复旦大学经济学院2013年硕士研究生入学考试参考书目020101政治经济学:①《政治经济学教材》（第十三版）蒋学模主编上海人民出版社 2005年②《通俗资本论》洪远朋著上海科学技术文献出版社 2009年了解③《西方经济学》袁志刚高等教育出版社 2010年④《微观经济学》陈钊、陆铭高等教育出版社 2008年⑤《宏观经济学》袁志刚、樊潇彦高等教育出版社 2008年⑥《现代西方经济学习题指南》（第六版）尹伯成复旦大学出版社 2009年⑦《国际经济学》（第二版）华民复旦大学出版社 2010年020102经济思想史:同020101专业020103经济史:同020101专业020104西方经济学:同020101专业020105世界经济:同020101专业020201国民经济学:同020101专业020202区域经济学:同020101专业020203财政学:同020101专业020204金融学:①至⑥同020101专业①至⑥⑦《国际金融新编》（第四版）姜波克复旦大学出版社 2008年⑧《现代货币银行学教程》（第三版）胡庆康复旦大学出版社 2006年⑨《投资学》（第二版）刘红忠高等教育出版社 2010年020206国际贸易学:同020101专业020207劳动经济学:同020101专业020209数量经济学：同020101专业“经济学综合基础”参考书目《国际经济学》华民复旦大学出版社《现代西方经济学习题指南（微观经济学）》尹伯成复旦大学出版社《现代西方经济学习题指南（宏观经济学）》尹伯成复旦大学出版社《宏观经济学》袁志刚高等教育出版社《微观经济学》陈钊高等教育出版社《西方经济学》袁志刚高等教育出版社《通俗资本论》洪远朋上海科学技术文献出版社《政治经济学教材》蒋学模上海人民出版社三、“经济学综合基础”复习资料1、《2013复旦大学经济学综合基础考研复习精编》复旦大学考研研究中心、博志复旦考研网编写。

Ch19-4e Essentials of Investment

Irwin / McGraw-Hill
© 2001 The McGraw-Hill Companies, Inc. All rights reserved.
14
Bodie • Kane • Marcus
Essentials of Investments
Fourth Edition
Market Timing
E (rp-rf) / sp
Irwin / McGraw-Hill
© 2001 The McGraw-Hill Companies, Inc. All rights reserved.
4
Bodie • Kane • Marcus
Essentials of Investments
Fourth Edition
2
Bodie • Kane • Marcus
Essentials of Investments
Fourth Edition
Introduction
• Complicated subject • Theoretically correct measures are difficult to construct • Different statistics or measures are appropriate for different types of investment decisions or portfolios • Many industry and academic measures are different • The nature of active managements leads to measurement problems
1
Bodie • Kane • Marcus

30本必读的投资学经典

30本必读的投资学经典【30本书目简介】目录:第1部《聪明的投资者》第2部《金融炼金术》第3部《漫步华尔街》第4部《克罗淡投资策略》第5部《艾略特波浪理论》第6部《怎样选择成长股》第7部《投资学精要》第8部《金融学》第9部《投资艺术》第10部《华尔街45年》第11部《股市趋势技术分析》第12部《笑傲股市》第13部《期货市场技术分析》第14部《资本市场的混沌与秩序》第15部《华尔街股市投资经典》第16部《战胜华尔街》第17部《专业投机原理》第18部《巴菲特：从100元到160亿》第19部《交易冠军》第20部《股票作手回忆录》第21部《罗杰斯环球投资旅行》第22部《世纪炒股赢家》第23部《一个投机者的告白》第24部《逆向思考的艺术》第25部《通向金融王国的自由之路》第26部《泥鸽靶》第27部《贼巢》第28部《非理性繁荣》第29部《伟大的博弈》第30部《散户至上》《聪明的投资者》推荐度：★★★★★本杰明·格雷厄姆（Benjamin Graham）:证券分析之父首次出版：1949年全书名：《聪明的投资者》又译作《智慧型股票投资人》被誉为：投资界的金科玉律，有史以来最伟大的投资著作！格雷厄姆的“投资指南”是每一位华尔街人士的“圣经”，它对全球金融产生了深远的影响，并为证券市场造就了，包括当今世界首富、被称为“股神”的沃特.巴菲特在内的一批亿万富翁。

本书是“证券分析”理论创立者本杰明.格雷厄姆的代表作。

该理论不鼓励投资者短期的投机行为，而更注重企业内在价值的发现。

本书初版于1949，以后不断修订，一版再版，至今仍对全球金融业产生着深远的影响，并为证券市场造就了一批亿万富翁，包括格雷厄姆的学生、著名的世界证券业首富沃伦.巴菲特。

《金融炼金术》乔治·索罗斯（George Soros）:金融杀手首次出版：1999年全书名：《金融炼金术》(The Alchemy of Finance)被誉为：投资者的投资指南，金融市场两部永恒的指导手册之一乔治·索罗斯这位金融奇才，堪称目前全球最具实力且获利最高的投资人，他的《金融炼金术》一书被公众当成投资指南。

《30部必读的投资学经典》[PDF]

《30部必读的投资学经典》[PDF]状态: 精华资源VeryCD版主招募火热投票中！摘要: 发行时间: 2006年语言: 简体中文时间: 5月16日发布 | 6月2日更新分类: 资料电子图书统计: 152170次浏览 | 2234次收藏收藏:相关:•详细内容•相关资源•补充资源•用户评论电驴资源下面是用户共享的文件列表，安装电驴后，您可以点击这些文件名进行下载6.2更新书目（英文版）Beating.the.Street.pdf 详情12.3MBTechnical.Analysis.of.the.Financial.Markets.pdf 详情20.3MBInvestment.6th.Edition.pdf 详情19.9MB5.21早更新书目（英文版）Common.Stocks.and.Uncommon.Profits.and.Other.Writings.pd26.4MBf 详情How.to.Make.Money.in.Stocks.pdf 详情5MBIrrational.Exuberance.rar 详情3MBTrader.Vic.rar 详情 1.8MBTechnical.Analysis.of.Stock.Trends.pdf 详情 4.6MB5.20早更新书目（英文版）What.Works.on.Wall.Street.pdf 详情 4.8MBTrade.Your.Way.to.Financial.Freedom.pdf 详情 3.3MBThe.Intelligent.Investor.pdf 详情 6.2MBThe.Essays.of.Warren.Buffett.pdf 详情 1.2MBReminiscences.of.a.Stock.Operator.pdf 详情1MBWinning.the.Losers'Game.pdf 详情 3.7MB5.19晚更新书目（英文版）45.Years.In.Wall.Street.pdf 详情11.9MBThe.Alchemy.Of.Finance.pdf 详情16.2MBChaos.and.Order.in.the.Capital.Markets.pdf 详情9.4MBArt.of.Creative.Thinking.pdf 详情 1.2MBA.Random.Walk.Down.Wall.Street.pdf 详情 4.9MB无敌的分隔线30部必读的投资学经典.pdf 详情36MB【聪明的投资者】.pdf 详情 5.7MB【金融炼金术】.pdf 详情8.2MB【漫步华尔街】.pdf 详情12.8MB【克罗谈投资策略】.pdf 详情 2.3MB【艾略特波浪理论】.pdf 详情 6.9MB【怎样选择成长股】.pdf 详情 5.5MB【投资学】.pdf 详情97.5MB【金融学】.pdf 详情11.8MB【华尔街四十五年】.rar 详情4MB【投资艺术】.pdf 详情7.6MB【股市趋势技术分析.目录】.pdf 详情2MB【股市趋势技术分析】.pdf 详情40.6MB【金融市场技术分析】.pdf 详情20.9MB【笑傲股市】.pdf 详情8.2MB【股票作手回忆录】.pdf 详情40.3MB【资本市场的混沌与秩序】.pdf 详情 4.5MB【华尔街股市投资经典】.pdf 详情11.2MB【战胜华尔街】.pdf 详情 6.1MB【专业投机原理】.pdf 详情25.3MB【巴菲特从100元到160亿】.pdf 详情 6.6MB【交易冠军】.txt 详情429.8KB【罗杰斯环球投资旅行】.pdf 详情15.4MB【世纪炒股赢家】.pdf 详情7.9MB【一个投机者的告白】.pdf 详情4MB【逆向思考的艺术】.pdf 详情 3.4MB【通向金融王国的自由之路】.pdf 详情11.7MB【泥鸽靶】.pdf 详情 4.2MB【贼巢】.pdf 详情 1.6MB【非理性的繁荣】.pdf 详情 6.6MB【伟大的博弈】.pdf 详情39.1MB【散户至上】.pdf 详情8.1MB全选623.6MB中文名: 30部必读的投资学经典资源格式: PDF发行时间: 2006年地区: 大陆语言: 简体中文简介:作者：高倚云等编著出版社：北京工业大学出版社出版时间： 2006-1-1【推荐】本书是“大师经典读书计划”系列中的一本，该书从投资领域中选取了30位最具影响力的大师，着重介绍他们最具代表性的作品，这些流芳百世的经典之作曾经是一代又一代人的路标，了解并阅读这些经典著作，必将给每一位读者以智慧的启迪。

Essentials Of Investments 8th Ed Bodie 投资学精要(第八版)课后习题答案Chap007

CHAPTER 07CAPITAL ASSET PRICING AND ARBITRAGE PRICINGTHEORY1. The required rate of return on a stock is related to the required rate of return on thestock market via beta. Assuming the beta of Google remains constant, the increase in the risk of the market will increase the required rate of return on the market, and thus increase the required rate of return on Google.2. An example of this scenario would be an investment in the SMB and HML. As of yet,there are no vehicles (index funds or ETFs) to directly invest in SMB and HML. While they may prove superior to the single index model, they are not yet practical, even for professional investors.3. The APT may exist without the CAPM, but not the other way. Thus, statement a ispossible, but not b. The reason being, that the APT accepts the principle of risk and return, which is central to CAPM, without making any assumptions regardingindividual investors and their portfolios. These assumptions are necessary to CAPM.4. E(r P ) = r f + β[E(r M ) – r f ]20% = 5% + β(15% – 5%) ⇒ β = 15/10 = 1.55. If the beta of the security doubles, then so will its risk premium. The current riskpremium for the stock is: (13% - 7%) = 6%, so the new risk premium would be 12%, and the new discount rate for the security would be: 12% + 7% = 19%If the stock pays a constant dividend in perpetuity, then we know from the original data that the dividend (D) must satisfy the equation for a perpetuity:Price = Dividend/Discount rate 40 = D/0.13 ⇒ D = 40 ⨯ 0.13 = $5.20 At the new discount rate of 19%, the stock would be worth: $5.20/0.19 = $27.37The increase in stock risk has lowered the value of the stock by 31.58%.6. The cash flows for the project comprise a 10-year annuity of $10 million per year plus anadditional payment in the tenth year of $10 million (so that the total payment in the tenth year is $20 million). The appropriate discount rate for the project is:r f + β[E(r M ) – r f ] = 9% + 1.7(19% – 9%) = 26% Using this discount rate:NPV = –20 + +∑=101t t26.1101026.110= –20 + [10 ⨯ Annuity factor (26%, 10 years)] + [10 ⨯ PV factor (26%, 10 years)] = 15.64The internal rate of return on the project is 49.55%. The highest value that beta can take before the hurdle rate exceeds the IRR is determined by:49.55% = 9% + β(19% – 9%) ⇒ β = 40.55/10 = 4.055 7. a. False. β = 0 implies E(r) = r f , not zero.b. False. Investors require a risk premium for bearing systematic (i.e., market orundiversifiable) risk.c. False. You should invest 0.75 of your portfolio in the market portfolio, and theremainder in T-bills. Then: βP = (0.75 ⨯ 1) + (0.25 ⨯ 0) = 0.758.a. The beta is the sensitivity of the stock's return to the market return. Call theaggressive stock A and the defensive stock D . Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return.00.2205322A =--=β70.0205145.3D =--=βb. With the two scenarios equal likely, the expected rate of return is an average ofthe two possible outcomes: E(r A ) = 0.5 ⨯ (2% + 32%) = 17%E(r B ) = 0.5 ⨯ (3.5% + 14%) = 8.75%c. The SML is determined by the following: T-bill rate = 8% with a beta equal tozero, beta for the market is 1.0, and the expected rate of return for the market is:0.5 ⨯ (20% + 5%) = 12.5%See the following graph.812.5%S M LThe equation for the security market line is: E(r) = 8% + β(12.5% – 8%) d. The aggressive stock has a fair expected rate of return of:E(r A ) = 8% + 2.0(12.5% – 8%) = 17%The security analyst’s estimate of the expected rate of return is also 17%.Thus the alpha for the aggressive stock is zero. Similarly, the required return for the defensive stock is:E(r D ) = 8% + 0.7(12.5% – 8%) = 11.15%The security analyst’s estimate of the expected return for D is only 8.75%, and hence:αD = actual expected return – required return predicted by CAPM= 8.75% – 11.15% = –2.4%The points for each stock are plotted on the graph above.e. The hurdle rate is determined by the project beta (i.e., 0.7), not by the firm’sbeta. The correct discount rate is therefore 11.15%, the fair rate of return on stock D.9. Not possible. Portfolio A has a higher beta than Portfolio B, but the expected returnfor Portfolio A is lower.10. Possible. If the CAPM is valid, the expected rate of return compensates only forsystematic (market) risk as measured by beta, rather than the standard deviation, which includes nonsystematic risk. Thus, Portfolio A's lower expected rate of return can be paired with a higher standard deviation, as long as Portfolio A's beta is lower than that of Portfolio B.11. Not possible. The reward-to-variability ratio for Portfolio A is better than that of themarket, which is not possible according to the CAPM, since the CAPM predicts that the market portfolio is the most efficient portfolio. Using the numbers supplied:S A =5.0121016=- S M =33.0241018=-These figures imply that Portfolio A provides a better risk-reward tradeoff than the market portfolio.12. Not possible. Portfolio A clearly dominates the market portfolio. It has a lowerstandard deviation with a higher expected return.13. Not possible. Given these data, the SML is: E(r) = 10% + β(18% – 10%)A portfolio with beta of 1.5 should have an expected return of: E(r) = 10% + 1.5 ⨯ (18% – 10%) = 22%The expected return for Portfolio A is 16% so that Portfolio A plots below the SML (i.e., has an alpha of –6%), and hence is an overpriced portfolio. This is inconsistent with the CAPM.14. Not possible. The SML is the same as in Problem 12. Here, the required expectedreturn for Portfolio A is: 10% + (0.9 ⨯ 8%) = 17.2%This is still higher than 16%. Portfolio A is overpriced, with alpha equal to: –1.2%15. Possible. Portfolio A's ratio of risk premium to standard deviation is less attractivethan the market's. This situation is consistent with the CAPM. The market portfolio should provide the highest reward-to-variability ratio.16.a.b.As a first pass we note that large standard deviation of the beta estimates. None of the subperiod estimates deviate from the overall period estimate by more than two standard deviations. That is, the t-statistic of the deviation from the overall period is not significant for any of the subperiod beta estimates. Looking beyond the aforementioned observation, the differences can be attributed to different alpha values during the subperiods. The case of Toyota is most revealing: The alpha estimate for the first two years is positive and for the last two years negative (both large). Following a good performance in the "normal" years prior to the crisis, Toyota surprised investors with a negative performance, beyond what could be expected from the index. This suggests that a beta of around 0.5 is more reliable. The shift of the intercepts from positive to negative when the index moved to largely negative returns, explains why the line is steeper when estimated for the overall period. Draw a line in the positive quadrant for the index with a slope of 0.5 and positive intercept. Then draw a line with similar slope in the negative quadrant of the index with a negative intercept. You can see that a line that reconciles the observations for both quadrants will be steeper. The same logic explains part of the behavior of subperiod betas for Ford and GM.17. Since the stock's beta is equal to 1.0, its expected rate of return should be equal to thatof the market, that is, 18%. E(r) =01P P P D -+0.18 =100100P 91-+⇒ P 1 = $10918. If beta is zero, the cash flow should be discounted at the risk-free rate, 8%:PV = $1,000/0.08 = $12,500If, however, beta is actually equal to 1, the investment should yield 18%, and the price paid for the firm should be:PV = $1,000/0.18 = $5,555.56The difference ($6944.44) is the amount you will overpay if you erroneously assume that beta is zero rather than 1.ing the SML: 6% = 8% + β(18% – 8%) ⇒β = –2/10 = –0.220.r1 = 19%; r2 = 16%; β1 = 1.5; β2 = 1.0a.In order to determine which investor was a better selector of individual stockswe look at the abnormal return, which is the ex-post alpha; that is, the abnormalreturn is the difference between the actual return and that predicted by the SML.Without information about the parameters of this equation (i.e., the risk-free rateand the market rate of return) we cannot determine which investment adviser isthe better selector of individual stocks.b.If r f = 6% and r M = 14%, then (using alpha for the abnormal return):α1 = 19% – [6% + 1.5(14% – 6%)] = 19% – 18% = 1%α2 = 16% – [6% + 1.0(14% – 6%)] = 16% – 14% = 2%Here, the second investment adviser has the larger abnormal return and thusappears to be the better selector of individual stocks. By making betterpredictions, the second adviser appears to have tilted his portfolio toward under-priced stocks.c.If r f = 3% and r M = 15%, then:α1 =19% – [3% + 1.5(15% – 3%)] = 19% – 21% = –2%α2 = 16% – [3%+ 1.0(15% – 3%)] = 16% – 15% = 1%Here, not only does the second investment adviser appear to be a better stockselector, but the first adviser's selections appear valueless (or worse).21.a.Since the market portfolio, by definition, has a beta of 1.0, its expected rate ofreturn is 12%.b.β = 0 means the stock has no systematic risk. Hence, the portfolio's expectedrate of return is the risk-free rate, 4%.ing the SML, the fair rate of return for a stock with β= –0.5 is:E(r) = 4% + (–0.5)(12% – 4%) = 0.0%The expected rate of return, using the expected price and dividend for next year: E(r) = ($44/$40) – 1 = 0.10 = 10%Because the expected return exceeds the fair return, the stock must be under-priced.22.The data can be summarized as follows:ing the SML, the expected rate of return for any portfolio P is:E(r P) = r f + β[E(r M) – r f ]Substituting for portfolios A and B:E(r A) = 6% + 0.8 ⨯ (12% – 6%) = 10.8%E(r B) = 6% + 1.5 ⨯ (12% – 6%) = 15.0%Hence, Portfolio A is desirable and Portfolio B is not.b.The slope of the CAL supported by a portfolio P is given by:S =P fP σr)E(r-Computing this slope for each of the three alternative portfolios, we have:S (S&P 500) = 6/20S (A) = 5/10S (B) = 8/31Hence, portfolio A would be a good substitute for the S&P 500.23.Since the beta for Portfolio F is zero, the expected return for Portfolio F equals therisk-free rate.For Portfolio A, the ratio of risk premium to beta is: (10% - 4%)/1 = 6%The ratio for Portfolio E is higher: (9% - 4%)/(2/3) = 7.5%This implies that an arbitrage opportunity exists. For instance, you can create aPortfolio G with beta equal to 1.0 (the same as the beta for Portfolio A) by taking a long position in Portfolio E and a short position in Portfolio F (that is, borrowing at the risk-free rate and investing the proceeds in Portfolio E). For the beta of G to equal 1.0, theproportion (w) of funds invested in E must be: 3/2 = 1.5The expected return of G is then:E(r G) = [(-0.50) ⨯ 4%] + (1.5 ⨯ 9%) = 11.5%βG = 1.5 ⨯ (2/3) = 1.0Comparing Portfolio G to Portfolio A, G has the same beta and a higher expected return.Now, consider Portfolio H, which is a short position in Portfolio A with the proceedsinvested in Portfolio G:βH = 1βG + (-1)βA = (1 ⨯ 1) + [(-1) ⨯ 1] = 0E(r H) = (1 ⨯ r G) + [(-1) ⨯ r A] = (1 ⨯ 11.5%) + [(- 1) ⨯ 10%] = 1.5%The result is a zero investment portfolio (all proceeds from the short sale of Portfolio Aare invested in Portfolio G) with zero risk (because β = 0 and the portfolios are welldiversified), and a positive return of 1.5%. Portfolio H is an arbitrage portfolio.24.Substituting the portfolio returns and betas in the expected return-beta relationship, weobtain two equations in the unknowns, the risk-free rate (r f ) and the factor return (F):14.0% = r f + 1 ⨯ (F – r f )14.8% = r f + 1.1 ⨯ (F – r f )From the first equation we find that F = 14%. Substituting this value for F into the second equation, we get:14.8% = r f + 1.1 ⨯ (14% – r f ) ⇒ r f = 6%25.a.Shorting equal amounts of the 10 negative-alpha stocks and investing the proceedsequally in the 10 positive-alpha stocks eliminates the market exposure and creates azero-investment portfolio. Using equation 7.5, and denoting the market factor as R M,the expected dollar return is [noting that the expectation of residual risk (e) inequation 7.8 is zero]:$1,000,000 ⨯ [0.03 + (1.0 ⨯ R M)] – $1,000,000 ⨯ [(–0.03) + (1.0 ⨯ R M)]= $1,000,000 ⨯ 0.06 = $60,000The sensitivity of the payoff of this portfolio to the market factor is zero because theexposures of the positive alpha and negative alpha stocks cancel out. (Notice thatthe terms involving R M sum to zero.) Thus, the systematic component of total riskalso is zero. The variance of the analyst's profit is not zero, however, since thisportfolio is not well diversified.For n = 20 stocks (i.e., long 10 stocks and short 10 stocks) the investor will have a$100,000 position (either long or short) in each stock. Net market exposure is zero,but firm-specific risk has not been fully diversified. The variance of dollar returnsfrom the positions in the 20 firms is:20 ⨯ [(100,000 ⨯ 0.30)2] = 18,000,000,000The standard deviation of dollar returns is $134,164.b.If n = 50 stocks (i.e., 25 long and 25 short), $40,000 is placed in each position,and the variance of dollar returns is:50 ⨯ [(40,000 ⨯ 0.30)2] = 7,200,000,000The standard deviation of dollar returns is $84,853.Similarly, if n = 100 stocks (i.e., 50 long and 50 short), $20,000 is placed ineach position, and the variance of dollar returns is:100 ⨯ [(20,000 ⨯ 0.30)2] = 3,600,000,000The standard deviation of dollar returns is $60,000.Notice that when the number of stocks increases by a factor of 5 (from 20 to 100),standard deviation falls by a factor of 5= 2.236, from $134,164 to $60,000. 26.Any pattern of returns can be "explained" if we are free to choose an indefinitely largenumber of explanatory factors. If a theory of asset pricing is to have value, it mustexplain returns using a reasonably limited number of explanatory variables (i.e.,systematic factors).27.The APT factors must correlate with major sources of uncertainty, i.e., sources ofuncertainty that are of concern to many investors. Researchers should investigatefactors that correlate with uncertainty in consumption and investment opportunities.GDP, the inflation rate and interest rates are among the factors that can be expected to determine risk premiums. In particular, industrial production (IP) is a good indicator of changes in the business cycle. Thus, IP is a candidate for a factor that is highlycorrelated with uncertainties related to investment and consumption opportunities in the economy.28.The revised estimate of the expected rate of return of the stock would be the oldestimate plus the sum of the unexpected changes in the factors times the sensitivitycoefficients, as follows:Revised estimate = 14% + [(1 ⨯ 1) + (0.4 ⨯ 1)] = 15.4%29.Equation 7.11 applies here:E(r P) = r f + βP1[E(r1) - r f] + βP2[E(r2) – r f]We need to find the risk premium for these two factors:γ1 = [E(r1) - r f] andγ2 = [E(r2) - r f]To find these values, we solve the following two equations with two unknowns: 40% = 7% + 1.8γ1 + 2.1γ210% = 7% + 2.0γ1 + (-0.5)γ2The solutions are: γ1 = 4.47% and γ2 = 11.86%Thus, the expected return-beta relationship is:E(r P) = 7% + 4.47βP1 + 11.86βP230.The first two factors (the return on a broad-based index and the level of interest rates)are most promising with respect to the likely impa ct on Jennifer’s firm’s cost of capital.These are both macro factors (as opposed to firm-specific factors) that can not bediversified away; consequently, we would expect that there is a risk premiumassociated with these factors. On the other hand, the risk of changes in the price ofhogs, while important to some firms and industries, is likely to be diversifiable, andtherefore is not a promising factor in terms of its impact on the firm’s cost of capital.31.Since the risk free rate is not given, we assume a risk free rate of 0%. The APT required(i.e., equilibrium) rate of return on the stock based on Rf and the factor betas is:Required E(r) = 0 + (1 x 6) + (0.5 x 2) + (0.75 x 4) = 10%According to the equation for the return on the stock, the actually expected return onthe stock is 6 % (because the expected surprises on all factors are zero by definition).Because the actually expected return based on risk is less than the equilibrium return,we conclude that the stock is overpriced.CFA 1a, c and dCFA 2a.E(r X) = 5% + 0.8(14% – 5%) = 12.2%αX = 14% – 12.2% = 1.8%E(r Y) = 5% + 1.5(14% – 5%) = 18.5%αY = 17% – 18.5% = –1.5%b.(i)For an investor who wants to add this stock to a well-diversified equityportfolio, Kay should recommend Stock X because of its positivealpha, while Stock Y has a negative alpha. In graphical terms, StockX’s expected return/risk profile plots above the SML, while Stock Y’sprofile plots below the SML. Also, depending on the individual riskpreferences of Kay’s clients, Stock X’s lower beta may have abeneficial impact on overall portfolio risk.(ii)For an investor who wants to hold this stock as a single-stock portfolio,Kay should recommend Stock Y, because it has higher forecastedreturn and lower standard deviation than S tock X. Stock Y’s Sharperatio is:(0.17 – 0.05)/0.25 = 0.48Stock X’s Sharpe ratio is only:(0.14 – 0.05)/0.36 = 0.25The market index has an even more attractive Sharpe ratio:(0.14 – 0.05)/0.15 = 0.60However, given the choice between Stock X and Y, Y is superior.When a stock is held in isolation, standard deviation is the relevantrisk measure. For assets held in isolation, beta as a measure of risk isirrelevant. Although holding a single asset in isolation is not typicallya recommended investment strategy, some investors may hold what isessentially a single-asset portfolio (e.g., the stock of their employercompany). For such investors, the relevance of standard deviationversus beta is an important issue.CFA 3a.McKay should borrow funds and i nvest those funds proportionally in Murray’sexisting portfolio (i.e., buy more risky assets on margin). In addition toincreased expected return, the alternative portfolio on the capital market line(CML) will also have increased variability (risk), which is caused by the higherproportion of risky assets in the total portfolio.b.McKay should substitute low beta stocks for high beta stocks in order to reducethe overall beta of York’s portfolio. By reducing the overall portfolio beta,McKay will reduce the systematic risk of the portfolio and therefore theportfolio’s volatility relative to the market. The security market line (SML)suggests such action (moving down the SML), even though reducing beta mayresult in a slight loss of portfolio efficiency unless full diversification ismaintained. York’s primary objective, however, is not to maintain efficiencybut to reduce risk exposure; reducing portfolio beta meets that objective.Because York does not permit borrowing or lending, McKay cannot reduce riskby selling equities and using the proceeds to buy risk free assets (i.e., by lendingpart of the portfolio).CFA 4c.“Both the CAPM and APT require a mean-variance efficient market portfolio.”This statement is incorrect. The CAPM requires the mean-variance efficientportfolio, but APT does not.d.“The CAPM assumes that one specific factor explains security returns but APTdoes not.” This statement is c orrect.CFA 5aCFA 6dCFA 7d You need to know the risk-free rate.CFA 8d You need to know the risk-free rate.CFA 9Under the CAPM, the only risk that investors are compensated for bearing is the riskthat cannot be diversified away (i.e., systematic risk). Because systematic risk(measured by beta) is equal to 1.0 for each of the two portfolios, an investor wouldexpect the same rate of return from each portfolio. Moreover, since both portfolios are well diversified, it does not matter whether the specific risk of the individual securities is high or low. The firm-specific risk has been diversified away from both portfolios. CFA 10b r f = 8% and E(r M) = 16%E(r X) = r f + βX[E(r M) – r f] = 8% + 1.0(16% - 8%) = 16%E(r Y) = r f + βY[E(r M) – r f] = 8% + 0.25(16% - 8%) = 10%Therefore, there is an arbitrage opportunity.CFA 11cCFA 12dCFA 13cInvestors will take on as large a position as possible only if the mis-pricingopportunity is an arbitrage. Otherwise, considerations of risk anddiversification will limit the position they attempt to take in the mis-pricedsecurity.CFA 14d。

投资学讲义纽约大学 1.BKM1-3

• Globalization continues and offers more opportunities • Securitization continues to develop • Continued development of derivatives and exotics • Strong fundamental foundation is critical • Integration of investments & corporate finance
Irwin / McGraw-Hill
© 2001 The McGraw-Hill Companies, Inc. All rights reserved.
10
Bodie • Kane • Marcus
Essentials of Investments
Fourth Edition
The Future
• Money Market
– Debt Instruments – Derivatives
• Capital Market
– Bonds – Equity – Derivatives
Irwin / McGraw-Hill
© 2001 The McGraw-Hill Companies, Inc. All rights reserved.
Irwin / McGraw-Hill
© The McGraw-Hill Companies, Inc. All rights reserved.
5
Bodie • Kane • Marcus
Essentials of Investments
Fourth Edition
Major Classes of Financial Assets or Securities

微观金融

理论界其后不断对MM定理的假设进行修正，形成了早期具有代表性的有关公司破产成本、
交易成本或信号理论，和随后重视公司的制度安排的代理理论，这个以资本成本为基础的
研究体系完整地反映在公司金融学教科书中。三、微观金融学和其他学科的交叉学科。微
观金融和数学形成的数理金融学和金融计量学；微观金融和心理学、生理学和组织行为学
提供资金和资本 (To Raise or Provide Funds or Capital)。如何筹集、谁愿意提供、供
求关系到底由什么来决定是其定义的侧重点。Steven Ross概括了现代Finance的四大课题
：收益和风险(Arrow-Debru均衡和无套利假设)、效率市场（理性人与等价鞅测度）、金融
使一国资本成本的最小化，也体现了金融学的终极目标，而且宏观金融涉及的变量更多更
复杂，研究起来丝毫不比微观金融难，而微观金融则是将宏观环境变量作为外生变量，相
对而言问题简单。关于宏观金融研究问题，我们另文讨论。下面重点讨论微观金融的研究
问题。
微观金融学作为一个学科有其基础研究和应用研究，而国内将金融学划归为应用经济
而金融工程（就是《连续时间金融》里的内容）用数学比较多，建议楼主往这方面发展。
网上流传很广的一篇文章《一个CCER研究生的学习感悟》，里面有段是讲金融学的学习方法的
金融学学习经验
主要阐述偏研究和偏实务的不同学习策略，可能适用的书籍、网址和其他资源，强调不能,只关注直接融资，忽视其他融资方式，割裂的分析金融市场。
（二）一些促进思考的途径
1．找一个bbs经常灌水，最好是当版主，关注每日动态，而且应该尝试对消息做一个分析和评论，写作能强迫你认真的分析，加深对现象的理解。

Essentials of Investments (15)

15-4
Options Trading
Some options trade on over-the-counter (OTC) markets Option contracts traded on exchanges are standardized Most options trading in the U.S. take place on:
15-17
Equity, Options & Options Plus T-Bills - Text Example
Investment Equity only Options only Calls Plus T-Bills Strategy Buy stock @ 90 Buy calls @ 10 Buy calls @ 10 Buy T-bills @ 2% Yield 100 shares 9 Contracts (900 calls) 1 Contract Investment $9,000 $9,000 $1,000 $8,000
15-30
Figure 15.10 Value of a Bullish Spread Position at Expiration
15-31
Collars
A collar is an options strategy that brackets the value of a portfolio between two bounds Appropriate for an investor who has a target wealth goal but is unwilling to risk losses beyond a certain level
15-14
Payoffs and Profits at Expiration - Puts

【金融保险】山东大学研究生金融方向培养方案

金融学专业攻读硕士学位研究生培养方案(专业代码：020204 经济研究院（中心）)一、培养目标培养热爱祖国、热爱科学，具有良好的道德品质和学术修养，有较强业务水平，德、智、体全面发展的高层次人才。

培养具有坚实理论基础的金融高层次人才和较强工作能力的金融工程师；毕业生具有综合运用金融学、经济学和管理学知识（包括计量分析技术）来分析问题和解决问题的能力；熟悉掌握一门外国语。

身心健康。

为进一步深造和适应公司、企业及研究工作打下基础。

二、研究方向1、资本市场主要研究领域：（1）资本市场理论及实务（2）并购、重组与公司控制（3）中国资本市场的发展2、货币金融主要研究领域：（1）货币供需理论与实务（2）利率决定理论与实务（3）金融监管与货币政策3、国际金融主要研究领域：（1）国际金融理论及实务（2）汇率决定理论与实务（3）开放经济下的财政、货币和汇率政策（4）开放经济下货币危机理论与实务4、金融工程主要研究领域：（1）金融工具及其理论（2）金融技术及其应用5、金融制度与企业成长主要研究领域：（1）金融制度与企业成长相关性（2）金融制度与企业治理（3）中国金融制度及其与企业成长6、投资理论与实务主要研究领域：（1）投资主体行为理论（2）资产定价理论与实务（3）市场效率理论（4）风险管理理论与实务（5）项目（实业）投资理论与实务（6）金融投资（股票、债券、基金、期货、外汇、黄金等）决策理论与实务三、学制硕士生培养实行弹性学制（2——3年）。

四、筛选、分流第三学期，结合硕士学位论文开题报告对硕士生进行中期筛选。

考核内容包括思想表现、课程学习、科研能力、学位论文开题报告、身心健康状况及学科综合知识等。

学科综合考试以考核硕士生的全面业务能力为目的，内容包括基础理论知识和实际工作能力两部分，由学位评定分委员会组织的综合考试小组组织进行。

中期筛选合格者可进人硕士学位论文撰写阶段；中期筛选不合格者，按《山东大学研究生学籍管理实施细则》的有关规定办理。

Essentials_Of_Investments_8th_Ed_Bodie_投资学精要(第八版)课后习题答案 Chapter 18

The alphas for the two portfolios are: A = 11% – [6% + 0.8(12% – 6%)] = 0.2% B = 14% – [6% + 1.5(12% – 6%)] = –1.0% Ideally, you would want to take a long position in Portfolio A and a short position in Portfolio B.
11 6 0.5 10
14 6 0.26 31
Therefore, using the Sharpe criterion, Portfolio A is preferred. 6. We first distinguish between timing ability and selection ability. The intercept of the scatter diagram is a measure of stock selection ability. If the manager tends to have a positive excess return even when the market’s performance is merely “neutral” (i.e., the market has zero excess return) then we conclude that the manager has, on average, made good stock picks. In other words, stock selection must be the source of the positive excess returns. Timing ability is indicated by the curvature of the plotted line. Lines that become steeper as you move to the right of the graph show good timing ability. The steeper slope shows that the manager maintained higher portfolio sensitivity to market swings (i.e., a higher beta) in periods when the market performed well. This ability to choose more market-sensitive securities in anticipation of market upturns is the essence of good timing. In contrast, a declining slope as you move to the right indicates that the portfolio was more sensitive to the market when the market performed poorly, and less sensitive to the market when the market performed well. This indicates poor timing. We can therefore classify performance ability for the four managers as follows: A B C D 7. a. Actual: (0.70 2.0%) + (0.20 1.0%) + (0.10 0.5%) = 1.65% Bogey: (0.60 2.5%) + (0.30 1.2%) + (0.10 0.5%) = 1.91% Underperformance = 1.91% – 1.65% = 0.26% Selection Ability Bad Good Good Bad Timing Ability Good Good Bad Bad

essentials of investments 12th 解答

essentials of investments 12th 解答题目：Essentials of Investments 12th 解答摘要：本文以中括号内的内容为主题，以一步一步回答的方式来解答关于《Essentials of Investments 12th》的问题。

文章从探讨投资的基本概念和原则开始，然后介绍了投资组合的构建和管理，接着讨论了股票、债券和其他投资工具以及相关的风险和回报。

最后，本文探讨了金融市场的运作和交易策略等内容。

正文：Essentials of Investments 12th 是一本经典的投资学教材，涵盖了投资理论和实践的各个方面。

它提供了一系列丰富的案例和习题，帮助读者加深对投资的理解。

在本文中，我们将一步一步回答有关《Essentials of Investments 12th》的问题，并探讨其中涉及的关键概念和原则。

第一步：了解投资的基本概念和原则为了理解《Essentials of Investments 12th》的内容，首先需要了解投资的基本概念和原则。

投资是指将资金投入可预期获得回报的资产，以实现财务目标。

投资者根据自己的风险偏好和投资目标选择适合的投资策略。

投资组合理论提供了在不同资产之间分散投资来降低风险的方法。

第二步：投资组合的构建和管理《Essentials of Investments 12th》进一步介绍了投资组合的构建和管理的原理和方法。

投资组合是指将不同类型的资产进行适当配置，以最大程度地实现投资者的目标。

投资组合需要考虑资产的预期回报和风险，并根据投资者的时间偏好和目标制定适合的策略。

资本资产定价模型（CAPM）和有效市场假说（EMH）等理论也被引入到投资组合的构建和管理中。

第三步：股票、债券和其他投资工具《Essentials of Investments 12th》深入探讨了股票、债券和其他投资工具，以及它们的特点和风险。

股票是公司的所有权证明，投资者可以通过购买股票分享公司的收益和资本增值。

滋味博迪金融学英文版

滋味博迪金融学英文版《滋味博迪金融学》的英文版是 "The Intuition of Bodie's Finance". 这本书是根据美国学者Zvi Bodie所著的经典金融学教材 "Investments" 进行的翻译和改编。

它是一本系统介绍金融学基本概念和理论的教材，涵盖了投资、资本市场、金融工具、风险管理等方面的内容。

"The Intuition of Bodie's Finance" 这本书在翻译过程中力求保持原著的准确性和完整性，并结合了作者的直观理解，以帮助读者更好地理解金融学的概念和原理。

它提供了大量的案例分析、图表和实际应用，以加深读者对金融学概念的理解，并将其应用于实际场景中。

这本书的目标读者主要是金融学专业的学生和从事金融相关工作的人士。

它不仅适合作为大学金融学课程的教材，也可作为金融从业人员的参考书。

通过阅读这本书，读者可以了解投资决策的基本原理，学习如何评估和管理风险，以及掌握一些金融工具和技术。

"The Intuition of Bodie's Finance" 这本书的内容丰富、深入浅出，旨在帮助读者建立起对金融学的全面理解。

它不仅提供了理论知识，还强调了实践应用和直观理解的重要性。

通过阅读这本书，读者可以培养出批判性思维和分析问题的能力，为金融领域的职业发展打下坚实的基础。

总结而言，"The Intuition of Bodie's Finance" 是一本全面介绍金融学的英文教材，它以Zvi Bodie的经典著作为基础，通过翻译和改编，提供了对金融学基本概念和理论的深入解析。

这本书适合金融学专业的学生和从业人员阅读，旨在帮助他们建立起对金融学的全面理解，并为他们的职业发展提供指导和支持。

金融学习方法(最全)

目录一、金融学进阶教材及方法 (1)1．入门进阶教材及注意事项 (1)2．继续研究进阶教材及注意事项 (1)二、投资实务之三十部著作 (8)三、金融学应了解的知识（四川大学） (10)四、金融联考大纲必备 (13)五、应用金融硕士研究生精读书目 (15)六、投行阅读书目 (15)一、金融学进阶教材及方法1．入门进阶教材及注意事项（1）入门书籍《Finance》,Zvi Bodie,Robert C.Merton。

框架非常清晰。

（2）中级教材a． Investments：<Essentials of Investments>,Zvi Bodie, Alex Kane, Alan J. Marcus.<Investments>,William F.Sharpe, Gordon J.Alexander, Jeffrey V.Bailey第一本书行文更流畅易懂，第二本较学术化，但两者选一即可。

在阅读时不但应该学习规范市场的运作，更应该想想中国市场到底因为哪些原因使得如此的无效率。

在理论和实际中反复的来来回回，可以使人更好的理解两者。

b. Corporate Finance< Principles of Corporate Finance >, Richard A.Brealey, Stewart C.Myers<Corporate Finance>, Stephen A. Ross, Randolph W. Westerfield, Jeffrey F. Jaffe 第一本通俗些，例子写的非常漂亮，第二本学术化色彩较浓，也是两者选一即可。

需要了解简单的会计知识，仅借贷和资产负债表等基础即可。

c. Derivatives< Options, Futures and other Derivatives >, John C. Hull如果简单的了解，a中任何一本书相关的部分就足够了。

essentials of investments 12th 解答 -回复

essentials of investments 12th 解答-回复问题以及提供解答。

题目：Essentials of Investments 12th 解答摘要：《Essentials of Investments 12th Edition》是一本全面介绍投资领域的教材，涵盖了投资者个人需了解的基本概念、工具和技巧。

本篇文章将一步一步回答与该教材内容相关的问题，包括投资者如何制定投资目标、选择投资工具、分散投资风险以及评估投资回报等。

引言：《Essentials of Investments 12th Edition》是一本经典的投资教材，它详细介绍了投资者需要了解的基本概念、工具和技巧。

本篇文章将围绕该教材的主要内容，一步一步回答与之相关的问题，帮助读者更好地理解投资的要点。

一、如何制定投资目标？制定投资目标是投资过程的第一步。

投资目标应该是明确和具体的。

在制定投资目标时，应该考虑以下因素：1. 投资者的时间轴：投资者的时间轴可以是长期、中期或短期。

根据时间轴不同，投资目标应该有所调整。

2. 风险承受能力：投资者应该确定自己对风险的承受能力，以便在选择投资组合时能够合理分配资金。

3. 财务需求：投资者应该明确自己在未来一段时间内可能面临的财务需求，如教育费用、房屋贷款等。

4. 预期回报：投资者应该根据自己对投资回报的预期来制定目标。

预期回报应该与风险水平相匹配。

5. 个人价值观：每个人的价值观不同，从而会对投资目标产生影响。

投资者应充分考虑自己的价值观，选择与之匹配的投资目标。

根据以上因素，投资者可以制定符合自己情况的投资目标，以便在投资过程中有一个明确的方向。

二、如何选择投资工具？在选择投资工具时，投资者应该考虑以下几个因素：1. 风险收益特征：不同的投资工具具有不同的风险和收益特征。

投资者应该根据自身的风险承受能力和投资目标来选择合适的投资工具。

2. 投资工具的流动性：投资者应该考虑投资工具的流动性，以便在需要资金的时候能够迅速变现。

Chap003投资学(英)《Securities Markets》

Systems, giving ECNs ability to register as stock exchanges
3-17
3.3 The Rise of Electronic Trading
• Timeline of Market Changes
• 1997: SEC drops minimum tick size from 1/8 to
• NYSE is largest U.S. Stock exchange
• ECNs
• Latency: Time it takes to accept, process, and
deliver a trading order
3-20
Figure 3.7 Market Share of Trading in NYSE-Listed Shares
3-8
Figure 3.2 Average First-Day Returns for Non-European IPOs
3-9
3.2 How Securities Are Traded
• Functions of Financial Markets
• Overall purpose: Facilitate low-cost investment
investing public
• Private offerings: Not registered; sold only to limited
number of investors with restrictions on resale
• Secondary
• Existing owner sells to another party • Issuing firm doesn’t receive proceeds, is not directly

投资学第1-2章投资概论

11
3.Finance 涵盖的内容
1中央银行、 2商业银行、 3投资银行(如美林、高盛等，我国没有单独投资
银行，一般由证券公司和会计事务所来做、律师事务所)、 4资本市场、 5证券业、 6基金业、 7保险业、8租赁与财务公司、9信托、10企业财务与融资
12
13
Investments是Finance的重要分支，不是指
23
1.2 金融资产
1.2.1 财富与资产财富（ Wealth）：现时收入（Present income）与所有未来收入（Future income）的现值（Present value）的和。资产（Assets）：所有能储存的财富
实物资产（Real
assets）与金融资产（Financial assets）
5
三本著名的金融财务杂志
(1)JFE(Journal
of Financial Economics) (2)JF(Journal of Finance这是美国金融学会的) (3)RFS(Reviews of Financial Stud1)
CFA(Chartered Financial Analyst特许金融分析师：由美国“特许金融分析师学院”(ICFA)发起，每年在全球范围内举行资格考试。
Investments,核心是asset pricing
21
正确理解金融学的内涵与外延：
微观金融学(finance) ：包括公司金融、投资学、证券市场微观结构
宏观金融学(macro-finance) 本质上宏观经济学分支包括货币银行学、国际收支理论、金融体系稳定性研究、微观金融学的自然延伸：以国际资产定价理论为基础的国际证券投资和公司金融、金融市场和中介结构等。

EssentialsofInvestments第八版教学设计

EssentialsofInvestments第八版教学设计本文将为教师设计一份EssentialsofInvestments第八版的教学计划，旨在帮助学生掌握金融投资的基本概念、理论和实践应用。

教学目标•了解投资市场、投资工具、金融证券和投资组合等基本知识；•掌握资产评估和投资组合构建的方法；•能够运用理论和实践知识分析金融市场的变化和趋势；•熟悉基金管理、个人财富管理和投资机会的选择等关键问题。

教学方法•授课：教师主要负责讲解理论知识、案例分析和实践经验；•案例分析：教师将选取一些经典的案例进行分析和讨论，帮助学生理解和应用相关知识；•课堂讨论：学生将被要求参与到小组讨论中，分享和交流自己的观点和经验；•课外阅读：学生需要通过阅读教材和相关文献来加深对投资知识的理解和掌握。

授课内容第一章投资环境•投资的基本概念和分类；•投资的风险和收益；•投资者的行为和心理偏差；•投资市场的结构和变化。

第二章投资工具•固定收益证券和股票等主要投资工具的类型和特点；•不同投资工具的收益和风险；•投资工具的评估和选择方法。

第三章关于证券市场的其他信息•经纪人和交易商的作用；•市场监管和金融稳定；•报价和成交价的关系。

第四章资产评估•股票估值模型；•债券估值模型；•不动产和股权的估值方法。

第五章投资组合和投资公司•投资组合构建和调整；•投资组合的风险和收益；•投资公司的类型和运作。

第六章衍生品•期货、期权和互换等交易工具；•衍生品的风险和收益；•风险对冲和套利策略。

第七章市场效率•弱式有效市场、半强式有效市场和强式有效市场假说；•市场异常和交易行为。

第八章投资经理和投资咨询•投资经理的角色和职责；•投资咨询的类型和服务；•投资决策的过程和方法。

评估方法•考试：学生将在期末考试中回答相关选择题、简答题和论述题；•作业：学生需要提交小组讨论报告、个人论文和其他练习题等作业；•学习成果：教师将以学生的参与度、课堂表现、出勤率和学习成果等作为评估依据。

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D
2 32 2.00 5 20
3.5 14 0.70 5 20
b. With the two scenarios equal likely, the expected rate of return is an average of the two possible outcomes: E(rA) = 0.5 (2% + 32%) = 17% E(rB) = 0.5 (3.5% + 14%) = 8.75% c. The SML is determined by the following: T-bill rate = 8% with a beta equal to zero, beta for the market is 1.0, and the expected rate of return for the market is: 0.5 (20% + 5%) = 12.5% See the following graph.
P = (0.75 1) + (0.25 0) = 0.75
8. a. The beta is the sensitivity of the stock's return to the market return. Call the aggressive stock A and the defensive stock D. Then beta is the change in the stock return per unit change in the market return. We compute each stock's beta by calculating the difference in its return across the two scenarios divided by the difference in market return. A

7-3
Chapter 07 - Capital Asset Pricing and Arbitrage Pricing Theory
10. Possible. If the CAPM is valid, the expected rate of return compensates only for systematic (market) risk as measured by beta, rather than the standard deviation, which includes nonsystematic risk. Thus, Portfolio A's lower expected rate of return can be paired with a higher standard deviation, as long as Portfolio A's beta is lower than that of Portfolio B. 11. Not possible. The reward-to-variability ratio for Portfolio A is better than that of the market, which is not possible according to the CAPM, since the CAPM predicts that the market portfolio is the most efficient portfolio. Using the numbers supplied: SA = SM = 16 10 0.5 12 18 10 0.33 24
Chapter 07 - Capital Asset Pricing and Arbitrage Pricing Theory
CHAPTER 07 CAPITAL ASSET PRICING AND ARBITRAGE PRICING THEORY
1. The required rate of return on a stock is related to the required rate of return on the stock market via beta. Assuming the beta of Google remains constant, the increase in the risk of the market will increase the required rate of return on the market, and thus increase the required rate of return on Google. 2. An example of this scenario would be an investment in the SMB and HML. As of yet, there are no vehicles (index funds or ETFs) to directly invest in SMB and HML. While they may prove superior to the single index model, they are not yet practical, even for professional investors. 3. The APT may exist without the CAPM, but not the other way. Thus, statement a is possible, but not b. The reason being, that the APT accepts the principle of risk and return, which is central to CAPM, without making any assumptions regarding individual investors and their portfolios. These assumptions are necessary to CAPM. 4. E(rP) = rf + [E(rM) – rf] 20% = 5% + (15% – 5%) = 15/10 = 1.5 5. If the beta of the security doubles, then so will its risk premium. The current risk premium for the stock is: (13% - 7%) = 6%, so the new risk premium would be 12%, and the new discount rate for the security would be: 12% + 7% = 19% If the stock pays a constant dividend in perpetuity, then we know from the original data that the dividend (D) must satisfy the equation for a perpetuity: Price = Dividend/Discount rate 40 = D/0.13 D = 40 0.13 = $5.20 At the new discount rate of 19%, the stock would be worth: $5.20/0.19 = $27.37 The increase in stock risk has lowered the value of the stock by 31.58%. 6. The cash flows for the project comprise a 10-year annuity of $10 million per year plus an additional payment in the tenth year of $10 million (so that the total payment in the tenth year is $20 million). The appropriate discount rate for the project is: rf + [E(rM) – rf ] = 9% + 1.7(19% – 9%) = 26% Using this discount rate: NPV = –20 +
10
1.26
t 1
10
t

10 1.2610
7-1
Chapter 07 - Capital Asset Pricing and Arbitrage Pricing Theory
= –20 + [10 Annuity factor (26%, 10 years)] + [10 PV factor (26%, 10 years)] = 15.64 The internal rate of return on the project is 49.55%. The highest value that beta can take before the hurdle rate exceeds the IRR is determined by: 49.55% = 9% + (19% – 9%) = 40.55/10 = 4.055 7. a. False. = 0 implies E(r) = rf , not zero. b. False. Investors require a risk premium for bearing systematic (i.e., market or undiversifiable) risk. c. False. You should invest 0.75 of your portfolio in the market portfolio, and the remainder in T-bills. Then: