作者applego (气呼呼的)
看板CFAiafeFSA
标题[问题] 我有几个财管问题想请教
时间Mon Jan 15 11:13:04 2007
1.Nero has the following capital structure:
Security beta total market value
---------------------------------------------------------
Debt 0 100million
Preferred stock 0.20 40
Common stock 1.2 299
a.what's the firm's asset beta?
b.assume CAMP is correct. What discount rate should Nero set for
investments that expand the scale of its operations without changing
its asset beta?假设无风险利率5%风险益酬为6%
假设市场上所有风险性资产所形成可行投资组合共有下列七个:
A~(40%,30%)
B~(25%,10%)
C~(30%,25%)
D~(36%,20%)
E~(25%,15%)
F~(45%,30%)
G~(35%,25%)
括弧中第1个数字为投资组合的标准差σp,第二个数字则为其预期报酬率E(Rp)=μp,试回答:
1.效率前缘由哪几个投资组合购成?
2.当无风险资产存在,且无风险利率Rf=5%时,何者为市场投资组合?
3.资本市场线(CML)与证卷市场线(SML)的方程式为何?
4.设一股票之市价为20,预测一年内将发放现金股利2,且一年後之预 期市价将为26,该股票之β系数为2,则该股票是否值得投资?
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