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习题
Chapter9
3.Youareaconsultanttoalargemanufacturingcorporationthatisconsideringa
projectwiththefollowingnetafter-taxcashflows(inmillionsofdollars):
Theproject’sbetais1.8.Assumingthat,whatisthenet
presentvalueoftheproject?Whatisthehighestpossiblebetaestimatefortheproject
beforeitsNPVbecomesnegative?
4.Arethefollowingtrueorfalse?Explain.
a.Stockswithabetaofzeroofferanexpectedrateofreturnofzero.
b.TheCAPMimpliesthatinvestorsrequireahigherreturntoholdhighlyvolatile
securities.
c.Youcanconstructaportfoliowithbetaof.75byinvesting.75oftheinvestment
budgetinT-billsandtheremainderinthemarketportfolio.
Inproblems13to15assumethattherisk-freerateofinterestis6%andtheexpected
rateofreturnonthemarketis16%.
13.Ashareofstocksellsfor$50today.Itwillpayadividendof$6pershareatthe
endoftheyear.Itsbetais1.2.Whatdoinvestorsexpectthestocktosellforattheend
oftheyear?
14.Iambuyingafirmwithanexpectedperpetualcashflowof$1,000butamunsure
ofitsrisk.IfIthinkthebetaofthefirmis.5,wheninfactthebetaisreally1,how
muchmorewillIofferforthefirmthanitistrulyworth?
15.Astockhasanexpectedrateofreturnof4%.Whatisitsbeta?
17.Supposetherateofreturnonshort-termgovernmentsecurities(perceivedtobe
riskfree)isabout5%.Supposealsothattheexpectedrateofreturnrequiredbythe
marketforaportfoliowithabetaof1is12%.Accordingtothecapitalassetpricing
model(securitymarketline):
a.Whatistheexpectedrateofreturnonthemarketportfolio?
b.Whatwouldbetheexpectedrateofreturnonastockwithbeta=0?
c.Supposeyouconsiderbuyingashareofstockat$40.Thestockisexpectedtopay
$3dividendsnextyearandyouexpectittosellthenfor$41.Thestockriskhasbeen
evaluat
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