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匿名 發問於 商業及金融其他 - 商業及金融 · 7 年前

about the expected return !!!

stock a:

Forecasted return 18%, Standard deviation30%, Beta0.5

stock B :

Forecasted return 20%, Standard deviation20%, Beta1.5

market index:

Forecasted return 18%, Standard deviation18%, Beta 1

The Forecasted return of risk free ratio is 5%

So, how can I find the expected return??? Please explain it detailly..Thx@@

更新:

Yes, I want to use the CAPM

For the risk free rate, it just 5%,

so, how can i find the expected return?

更新 2:

the question is calculate the expected return for each stock...

there are no information of the weight. so, if i want to calculate the E(rm), i have to assume the weight of the portfolio???

in other hand, what is the effect of market index in this case?

更新 3:

oh.. the question is incorrect@@

stock a:

Forecasted return 18%, Standard deviation30%, Beta0.5

stock B :

Forecasted return 20%, Standard deviation27%, Beta1.5

market index:

Forecasted return 18%, Standard deviation19%, Beta 1

更新 4:

I still want to ask a few question about this,

1.) why do you use market index return minus risk free rate??

2) what is the effect for standard deviation of market index??

3.)if I want to calculate the alpha of each stock, I haven't use the market index, am I right??

Thank you so much=D

1 個解答

評分
  • 7 年前
    最愛解答

    Before I answer you, please clarify:

    1. Meaning of "forecasted return of risk free ratio"

    Do you mean (expected return)/(risk free rate) ?

    2. What topic you are learning? You are expected to use CAPM or Markowitz assumption, or what?

    2013-10-20 00:45:53 補充:

    You need to find an expected return of what investment?

    A portfolio made up of Stock A and Stock B?

    What are the weightings?

    2013-10-20 00:53:09 補充:

    If you are using CAPM, you need to know the beta to get the expected return.

    For example, if you want a portfolio of 10% A and 90% B, then the beta would be 10%(0.5) + 90%(1.5) = 1.4

    Using CAPM give you and expected return of

    5% + 1.4(18% - 5%) = 23.2%

    2013-10-20 00:53:31 補充:

    HOWEVER, I must tell you that, your given stock A and stock B does not follow CAPM, they are mispriced currently.

    2013-10-20 01:30:26 補充:

    Also to reply you, the given market information is useful, because in the formula in CAPM (that equation for SML), the expected market return is included there.

    If you provide enough information (and with a clear question) then I can answer you. ^__^

    2013-10-20 01:40:23 補充:

    Hahaha, you are funny =^o^=

    After some thoughts, I understand what you are asking finally.

    You mean you want to find the expected return of Stock A and Stock B based on CAPM.

    圖片參考:http://imgcld.yimg.com/8/n/HA00430218/o/2013102001...

    2013-10-20 16:49:54 補充:

    補充回答只可以用純文字,所以我之前希望一次過問清楚才作答 ^__^

    1) Why do you use market index return minus risk free rate?

    CAPM 是這樣定義的,是excess return of risk-free rate,請小心注意:

    http://en.wikipedia.org/wiki/Capital_asset_pricing...

    2013-10-20 16:51:56 補充:

    2) What is the effect for standard deviation of market index?

    No effect in this question.

    我在上邊的 Note 己經說明了,用 CAPM即只在乎 systematic risk,不是看 total risk (s.d.)

    注意 CAPM 是 SML (security market line) 是 expected return vs beta 的圖。

    切勿混淆 CML (capital market line) 是 expected return vs s.d. 的圖。

    2013-10-20 16:54:54 補充:

    3) If I want to calculate the alpha of each stock, I haven't use the market index, am I right?

    用 CAPM 得 expected return 時己用了 market index expected return.

    alpha_A = 18% - 11.5% = 6.5% > 0 (underpriced)

    alpha_B = 20% - 24.5% = -4.5% < 0 (overpriced)

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