投資學(xué)10版習(xí)題答案10(編輯修改稿)
2025-07-20 13:53 本頁(yè)面
【文章內(nèi)容簡(jiǎn)介】 return on the stock, the actually expected return on the stock is 15% (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.12. The first two factors seem promising with respect to the likely impact on the firm’s cost of capital. Both are macro factors that would elicit hedging demands across broad sectors of investors. The third factor, while important to Pork Products, is a poor choice for a multifactor SML because the price of hogs is of minor importance to most investors and is therefore highly unlikely to be a priced risk factor. Better choices would focus on variables that investors in aggregate might find more important to their welfare. Examples include: inflation uncertainty, shortterm interestrate risk, energy price risk, or exchange rate risk. The important point here is that, in specifying a multifactor SML, we not confuse risk factors that are important to a particular investor with factors that are important to investors in general。 only the latter are likely to mand a risk premium in the capital markets.13. The formula is 14. If and based on the sensitivities to real GDP () and inflation (), McCracken would calculate the expected return for the Orb Large Cap Fund to be: Therefore, Kwon’s fundamental analysis estimate is congruent with McCracken’s APT estimate. If we assume that both Kwon and McCracken’s estimates on the return of Orb’s Large Cap Fund are accurate, then no arbitrage profit is possible.15. In order to eliminate inflation, the following three equations must be solved simultaneously, where the GDP sensitivity will equal 1 in the first equation, inflation sensitivity will equal 0 in the second equation and the sum of the weights must equal 1 in the third equation. Here, x represents Orb’s High Growth Fund, y represents Large Cap Fund and z represents Utility Fund. Using algebraic manipulation will yield wx = wy = and wz = .16. Since retirees living off a steady ine would be hurt by inflation, this portfolio would not be appropriate for them. Retirees would want a portfolio with a return positively correlated with inflation to preserve value, and less correlated with the variable growth of GDP. Thus, Stiles is wrong. McCracken is correct in that supply side macroeconomic policies are generally designed to increase output at a minimum of inflationary pressure. Increased output would mean higher GDP, which in turn would increase returns of a fund positively correlated with GDP.17. The maximum residual variance is tied to the number of securities (n) in the portfolio because, as we increase the number of securities, we are more likely to encounter securities with larger residual variances. The starting point is to determine the practical limit on the portfolio residual standard deviation, s(eP), that still qualifies as a welldiversified portfolio. A reasonable approach is to pare s2(eP) to the market variance, or equivalently, to pare s(eP) to the market standard deviation. Suppose we do not allow s(eP) to exceed psM, where p is a small decimal fraction, for example, 。 then, the smaller the value w
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