財(cái)務(wù)管理ch04風(fēng)險(xiǎn)和報(bào)酬-資料下載頁(yè)
2025-01-09 06:28本頁(yè)面
【正文】 ies the asset has the same systematic risk as the overall market ? A beta 1 implies the asset has less systematic risk than the overall market ? A beta 1 implies the asset has more systematic risk than the overall market 444 Characteristic Lines and Different Betas EXCESS RETURN ON STOCK EXCESS RETURN ON MARKET PORTFOLIO Beta 1 (defensive) Beta = 1 Beta 1 (aggressive) Each characteristic line has a different slope. 445 Total versus Systematic Risk ? Consider the following information: Standard Deviation Beta ?Security C 20% ?Security K 30% ? Which security has more total risk? ? Which security has more systematic risk? ? Which security should have the higher expected return? 446 Rj is the required rate of return for stock j, Rf is the riskfree rate of return, bj is the beta of stock j (measures systematic risk of stock j), RM is the expected return for the market portfolio. Security Market Line Rj = Rf + bj(RM Rf) 447 Security Market Line Rj = Rf + bj(RM Rf) bM = Systematic Risk (Beta) Rf RM Required Return Risk Premium Riskfree Return 448 Lisa Miller at Basket Wonders is attempting to determine the rate of return required by their stock investors. Lisa is using a 6% Rf and a longterm market expected rate of return of 10%. A stock analyst following the firm has calculated that the firm beta is . What is the required rate of return on the stock of Basket Wonders? Determination of the Required Rate of Return 449 RBW = Rf + bj(RM Rf) RBW = 6% + (10% 6%) RBW = % The required rate of return exceeds the market rate of return as BW’s beta exceeds the market beta (). BWs Required Rate of Return 450 Lisa Miller at BW is also attempting to determine the intrinsic value of the stock. She is using the constant growth model. Lisa estimates that the dividend next period will be $ and that BW will grow at a constant rate of %. The stock is currently selling for $15. What is the intrinsic value of the stock? Is the stock over or underpriced? Determination of the Intrinsic Value of BW 451 The stock is OVERVALUED as the market price ($15) exceeds the intrinsic value ($10). Determination of the Intrinsic Value of BW $ % % Intrinsic Value = = $10 452 Security Market Line Systematic Risk (Beta) Rf Required Return Direction of Movement Direction of Movement Stock Y (Overpriced) Stock X (Underpriced) 453 Example CAPM ?Consider the betas for each of the assets given earlier. If the riskfree rate is % and the market risk premium is %, what is the expected return for each? ? Security Beta Expected Return ? DCLK + () = % ? KO + .84() = % ? INTC + () = % ? KEI + .59() = %
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