Problem 7-21, Stock Betas
Principles of Corporate Finance
Brealey, Myers, and Allen
13th Edition
Determine the beta of each of the stocks given a table of stock returns and the market returns.
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Determine the beta of each of the stocks given a table of stock returns and the market returns.
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Given the standard deviation of the market… find the beta using the standard deviation or find the standard deviation given the beta for a well-diversified portfolio. For the last part, they ask you about the beta of a poorly diversified portfolio given its standard deviation.
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Given the beta and standard deviation of return for two different companies along with the standard deviation of the market… determine the standard deviation of the portfolio given different weights of investment on each stock.
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What is the estimated standard deviation of returns for U.S. common stocks during the period from 1900 to 2017?
How would you characterize the average yearly nominal interest rate on Treasury bills during the 117 years from 1900 to 2017?
What is the average annual nominal rate of return on a portfolio invested in U.S. common stocks over the 117 years from 1900 to 2017?
How would you categorize the average annual real rate of interest on Treasury bills from 1900 to 2017?
What is the average annualized real return for a U.S. common stocks portfolio over the 1900-2017 period?
What is the beta value assigned to the market portfolio?
How much does the return on a stock with a beta of 2.2 change for each additional 1 percent change in the market return?