财务管理基础第二单元课后答案.doc

精品文档就在这里-各类专业好文档，值得你下载，教育，管理，论文，制度，方案手册，应有尽有-2-1= (0.1)(-50%) + (0.2)(-5%) + (0.4)(16%) + (0.2)(25%) + (0.1)(60%)= 11.40%.s2 = (-50% - 11.40%)2(0.1) + (-5% - 11.40%)2(0.2) + (16% - 11.40%)2(0.4) + (25% - 11.40%)2(0.2) + (60% - 11.40%)2(0.1)s2 = 712.44; s = 26.69%.CV = = 2.34.2-2 Investment Beta $35,000 0.8 40,000 1.4Total $75,000bp = ($35,000/$75,000)(0.8) + ($40,000/$75,000)(1.4) = 1.12.2-3kRF = 5%; RPM = 6%; kM = ?kM = 5% + (6%)1 = 11%.k when b = 1.2 = ?k = 5% + 6%(1.2) = 12.2%.2-4kRF = 6%; kM = 13%; b = 0.7; k = ?k = kRF + (kM - kRF)b = 6% + (13% - 6%)0.7 = 10.9%.2-5a.k = 11%; kRF = 7%; RPM = 4%. k = kRF + (kM kRF)b11% = 7% + 4%b 4% = 4%b b = 1.b.kRF = 7%; RPM = 6%; b = 1.k = kRF + (kM kRF)bk = 7% + (6%)1k = 13%.2-6a.= 0.1(-35%) + 0.2(0%) + 0.4(20%) + 0.2(25%) + 0.1(45%)= 14% versus 12% for X.b.s = . = (-10% - 12%)2(0.1) + (2% - 12%)2(0.2) + (12% - 12%)2(0.4) + (20% - 12%)2(0.2) + (38% - 12%)2(0.1) = 148.8%.sX = 12.20% versus 20.35% for Y.CVX = sX/X = 12.20%/12% = 1.02, whileCVY = 20.35%/14% = 1.45.2-7a.ki = kRF + (kM - kRF)bi = 9% + (14% - 9%)1.3 = 15.5%.b.1.kRF increases to 10%:kM increases by 1 percentage point, from 14% to 15%.ki = kRF + (kM - kRF)bi = 10% + (15% - 10%)1.3 = 16.5%.2.kRF decreases to 8%:kM decreases by 1%, from 14% to 13%.ki = kRF + (kM - kRF)bi = 8% + (13% - 8%)1.3 = 14.5%.c.1.kM increases to 16%:ki = kRF + (kM - kRF)bi = 9% + (16% - 9%)1.3 = 18.1%.2.kM decreases to 13%:ki = kRF + (kM - kRF)bi = 9% + (13% - 9%)1.3 = 14.2%.2-8Old portfolio beta = (b) + (1.00) 1.12 = 0.95b + 0.05 1.07 = 0.95b 1.1263 = b.New portfolio beta = 0.95(1.1263) + 0.05(1.75) = 1.1575 1.16.Alternative Solutions:1.Old portfolio beta = 1.12 = (0.05)b1 + (0.05)b2 + . + (0.05)b201.12 = (0.05)= 1.12/0.05 = 22.4.New portfolio beta = (22.4 - 1.0 + 1.75)(0.05) = 1.1575 1.16.2. excluding the stock with the beta equal to 1.0 is 22.4 - 1.0 = 21.4, so the beta of the portfolio excluding this stock is b = 21.4/19 = 1.1263. The beta of the new portfolio is:1.1263(0.95) + 1.75(0.05) = 1.1575 1.16.2-9Portfolio beta= (1.50) + (-0.50) + (1.25) + (0.75)bp= (0.1)(1.5) + (0.15)(-0.50) + (0.25)(1.25) + (0.5)(0.75)= 0.15 - 0.075 + 0.3125 + 0.375 = 0.7625.kp= kRF + (kM - kRF)(bp) = 6% + (14% - 6%)(0.7625) = 12.1%.Alternative solution: First, calculate the return for each stock using the CAPM equation kRF + (kM - kRF)b, and then calculate the weighted average of these returns.kRF = 6% and (kM - kRF) = 8%.Stock Investment Beta k = kRF + (kM - kRF)b Weight A $ 400,000 1.50 18% 0.10 B 600,000 (0.50) 2 0.15 C 1,000,000 1.25 16 0.25 D 2,000,000 0.75 12 0.50Total $4,000,000 1.00kp = 18%(0.10) + 2%(0.15) + 16%(0.25) + 12%(0.50) = 12.1%.2-10We know that bR = 1.50, bS = 0.75, kM = 13%, kRF = 7%.ki = kRF + (kM - kRF)bi = 7% + (13% - 7%)bi.kR = 7% + 6%(1.50) = 16.0%kS = 7% + 6%(0.75) = 11.5 4.5%2-11 = 10%; bX = 0.9; sX = 35%. = 12.5%; bY = 1.2; sY = 25%.kRF = 6%; RPM = 5%.a.CVX = 35%/10% = 3.5. CVY = 25%/12.5% = 2.0.b.For diversified investors the relevant risk is measured by beta. Therefore, the stock with the higher beta is more risky. Stock Y has the higher beta so it is more risky than Stock X.c.kX = 6% + 5%(0.9)kX = 10.5%.kY = 6% + 5%(1.2)kY = 12%.d.kX = 10.5%; = 10%.kY = 12%; = 12.5%.Stock Y would be most attractive to a diversified investor since its expected return of 12.5% is greater than its required return of 12%.e.bp = ($7,500/$10,000)0.9 + ($2,500/$10,000)1.2 = 0.6750 + 0.30 = 0.9750.kp = 6% + 5%(0.975)kp = 10.875%.f.If RPM increases from 5% to 6%, the stock with the highest beta will have the largest increase in its required return. Therefore, Stock Y will have the greatest increase.Check:kX = 6% + 6%(0.9) = 11.4%.Increase 10.5% to 11.4%.kY = 6% + 6%(1.2) = 13.2%.Increase 12% to 13.2%.2-12kRF = k* + IP = 2.5% + 3.5% = 6%. ks = 6% + (6.5%)1.7 = 17.05%.2-13Using Stock X (or any stock): 9%= kRF + (kM kRF)bX 9%= 5.5% + (kM kRF)0.8(kM kRF)= 4.375%.2-14In equilibrium:kJ = = 12.5%. kJ= kRF + (kM - kRF)b 12.5%= 4.5% + (10.5% - 4.5%)b b= 1.33.2-15bHRI = 1.8; bLRI = 0.6. No changes occur.kRF = 6%. Decreases by 1.5% to 4.5%.kM = 13%. Falls to 10.5%.Now SML: ki = kRF + (kM - kRF)bi.kHRI = 4.5% + (10.5% - 4.5%)1.8 = 4.5% + 6%(1.8) = 15.3%kLRI = 4.5% + (10.5% - 4.5%)0.6 = 4.5% + 6%(0.6) = 8.1%Difference 7.2%2-16An index fund will have a beta of 1.0. If kM is 12.5 percent (given in the problem) and the risk-free rate is 5 percent, you can calculate the market risk premium (RPM) calculated as kM - kRF as follows: k = kRF + (RPM)b12.5% = 5% + (RPM)1.0 7.5% = RPM.Now, you can use the RPM, the kRF, and the two stocks betas to calculate their required returns.Bradford:kB= kRF + (RPM)b= 5% + (7.5%)1.45= 5% + 10.875%= 15.875%.Farley:kF= kRF + (RPM)b= 5% + (7.5%)0.85= 5% + 6.375%= 11.375%.The difference in their required returns is:15.875% - 11.375% = 4.5%.2-17Step 1:Determine the market risk premium from the CAPM: 0.12= 0.0525 + (kM - kRF)1.25 (kM - kRF)= 0.054.Step 2:Calculate the beta of the new portfolio:The beta of the new portfolio is ($500,000/$5,500,000)(0.75) + ($5,000,000/$5,500,000)(1.25) = 1.2045.Step 3:Calculate the required return on the new portfolio:The required return on the new portfolio is:5.25% + (5.4%)(1.2045) = 11.75%.2-18After additional investments are made, for the entire fund to have an expected return of 13%, the portfolio must have a beta of 1.5455 as shown below:13% = 4.5% + (5.5%)b b = 1.5455.Since the funds beta is a weighted average of the betas of all the individual investments, we can calculate the required beta on the additional investment as follows:1.5455 = + 1.5455 = 1.2 + 0.2X0.3455 = 0.2X X = 1.7275.2-19a.($1 million)(0.5) + ($0)(0.5) = $0.5 million.b.You would probably take the sure $0.5 million.c.Risk averter.d.1.($1.15 million)(0.5) + ($0)(0.5) = $575,000, or an expected profit of $75,000.2.$75,000/$500,000 = 15%.3.This depends on the individuals degree of risk aversion.4.Again, this depends on the individual.5.The situation would be unchanged if the stocks returns were perfectly positively correlated. Otherwise, the stock portfolio would have the same expected return as the single stock (15 percent) but a lower standard deviation. If the correlation coefficient between each pair of stocks was a negative one, the portfolio would be virtually riskless. Since r for stocks is generally in the range of +0.6 to +0.7, investing in a portfolio of stocks would definitely be an improvement over investing in the single stock.2-20a.M = 0.1(7%) + 0.2(9%) + 0.4(11%) + 0.2(13%) + 0.1(15%) = 11%.kRF = 6%. (given)Therefore, the SML equation iski = kRF + (kM - kRF)bi = 6% + (11% - 6%)bi = 6% + (5%)bi.b.First, determine the funds beta, bF. The weights are the percentage of funds invested in each stock.A = $160/$500 = 0.32B = $120/$500 = 0.24C = $80/$500 = 0.16D = $80/$500 = 0.16E = $60/$500 = 0.12bF= 0.32(0.5) + 0.24(2.0) + 0.16(4.0) + 0.16(1.0) + 0.12(3.0)= 0.16 + 0.48 + 0.64 + 0.16 + 0.36 = 1.8.Next, use bF = 1.8 in the SML determined in Part a: = 6% + (11% - 6%)1.8 = 6% + 9% = 15%.c.kN = Required rate of return on new stock = 6% + (5%)2.0 = 16%.An expected return of 15 percent on the new stock is below the 16 percent required rate of return on an investment with a risk of b = 2.0. Since kN = 16% N = 15%, the new stock should not be purchased. The expected rate of return that would make the fund indifferent to purchasing the stock is 16 percent.2-21The answers to a, b, c, and d are given below: kA kB Portfolio1998 (18.00%) (14.50%) (16.25%)1999 33.00 21.80 27.402000 15.00 30.50 22.752001 (0.50) (7.60) (4.05)2002 27.00 26.30 26.65Mean 11.30 11.30 11.30Std. Dev. 20.79 20.78 20.13Coef. Var. 1.84 1.84 1.78e.A risk-averse investor would choose the portfolio over either Stock A or Stock B alone, since the portfolio offers the same expected return but with less risk. This result occurs because returns on A and B are not perfectly positively correlated (rAB = 0.88). 3、通过活动，使学生养成博览群书的好习惯。B比率分析法和比较分析法不能测算出各因素的影响程度。C采用约当产量比例法，分配原材料费用与分配加工费用所用的完工率都是一致的。C采用直接分配法分配辅助生产费用时，应考虑各辅助生产车间之间相互提供产品或劳务的情况。错 C产品的实际生产成本包括废品损失和停工损失。C成本报表是对外报告的会计报表。C成本分析的首要程序是发现问题、分析原因。C成本会计的对象是指成本核算。C成本计算的辅助方法一般应与基本方法结合使用而不单独使用。C成本计算方法中的最基本的方法是分步法。XD当车间生产多种产品时，“废品损失”、“停工损失”的借方余额，月末均直接记入该产品的产品成本 中。D定额法是为了简化成本计算而采用的一种成本计算方法。F“废品损失”账户月末没有余额。F废品损失是指在生产过程中发现和入库后发现的不可修复废品的生产成本和可修复废品的修复费用。F分步法的一个重要特点是各步骤之间要进行成本结转。()G各月末在产品数量变化不大的产品，可不计算月末在产品成本。错G工资费用就是成本项目。()G归集在基本生产车间的制造费用最后均应分配计入产品成本中。对J计算计时工资费用，应以考勤记录中的工作时间记录为依据。()J简化的分批法就是不计算在产品成本的分批法。()J简化分批法是不分批计算在产品成本的方法。对 J加班加点工资既可能是直接计人费用，又可能是间接计人费用。J接生产工艺过程的特点，工业企业的生产可分为大量生产、成批生产和单件生产三种，XK可修复废品是指技术上可以修复使用的废品。错K可修复废品是指经过修理可以使用，而不管修复费用在经济上是否合算的废品。P品种法只适用于大量大批的单步骤生产的企业。Q企业的制造费用一定要通过“制造费用”科目核算。Q企业职工的医药费、医务部门、职工浴室等部门职工的工资，均应通过“应付工资”科目核算。 S生产车间耗用的材料，全部计入“直接材料”成本项目。 S适应生产特点和管理要求，采用适当的成本计算方法，是成本核算的基础工作。()W完工产品费用等于月初在产品费用加本月生产费用减月末在产品费用。对Y“预提费用”可能出现借方余额，其性质属于资产，实际上是待摊费用。对 Y引起资产和负债同时减少的支出是费用性支出。XY以应付票据去偿付购买材料的费用，是成本性支出。XY原材料分工序一次投入与原材料在每道工序陆续投入，其完工率的计算方法是完全一致的。Y运用连环替代法进行分析，即使随意改变各构成因素的替换顺序，各因素的影响结果加总后仍等于指标的总差异，因此更换各因索替换顺序，不会影响分析的结果。()Z在产品品种规格繁多的情况下，应该采用分类法计算产品成本。对Z直接生产费用就是直接计人费用。XZ逐步结转分步法也称为计列半成品分步法。A按年度计划分配率分配制造费用，“制造费用”账户月末(可能有月末余额/可能有借方余额/可能有贷方余额/可能无月末余额)。A按年度计划分配率分配制造费用的方法适用于(季节性生产企业)-精品 文档-