1)What is the expected return of a stock which has a beta of 0.85,

when the risk free rate is 1.25% and the expected return of the market is 9.65%?
2) As per above, except the beta of the stock is 1.25 and the risk free rate is 0.75%?
3) What is the expected return of a portfolio which has a beta of 1.15, when the risk free rate is 0.55% and the market risk premium (ERP) is 6.75%?
4) As above, except the beta of the portfolio is 0.95 and the ERP is 7.75%?
5)How much Jensen's alpha did a portfolio manager generate when their portfolio returned 7.88%, the risk free rate was 0.55%, the beta of the portfolio was 1.15 and the ERP was 6.75%?
6) How much Jensen's alpha did a portfolio manager generate when their portfolio returned 7.88%, the risk free rate was 0.65%, the beta of the portfolio was 1.25 and the return of the market was 8.25%?
7) What is the expected return of a small cap value stock which has an exposure to the size effect (2.25%) of 0.57 and an exposure to the value factor (3.55%) of 0.75, when the risk free rate is 0.75% and the ERP is 8.25%?
8) What is the expected return of a large cap growth stock which has an exposure to the size effect (2.45%) of -0.29 and an exposure to the value factor (3.35%) of -0.22, when the risk free rate is 0.75% and the expected return of the market is 9.25%? 20. Reviewing your answers for questions 18 and 19, which stock has the highest price?
9)How much Carhartt's alpha did a portfolio manager generate when their portfolio returned 7.88%, the risk free rate was 0.55%, the ERP was 6.75%, the exposure to the size effect (2.15%) was 0.35 and the exposure to the value factor (3.55) was 0.25?
10)How much Carhartt's alpha did a portfolio manager generate when their portfolio returned 11.35%, the risk free rate was 1.65%, the return of the market was 8.25%, the exposure to the size effect (2.15%) was 0.45 and the exposure to the value factor (3.55) was 0.85?

pur-new-sol

Related Questions