Reference no: EM13348789

QUESTION 1

a) Give an analytical derivation of the Capital Asset Pricing Model (CAPM) and supplement your analysis with diagrammatic illustrations where appropriate

b)黄东海Inc .的股票,一个公司在酒店ector, have a beta (β) of 1.10. What does this imply for the variation in BFC Inc equity returns vis-àvis the returns on the market. If the expected return on the market portfolio is 15.5% and the risk-free rate is 6.5%, what is the expected return on BFC Inc equity?

c）使用第（b）部分的结果，价格BFC Inc股票刚刚支付了每股3美元的股息，股息增长了5％

d) Assuming now that BFC Inc has just paid the same dividend as in (c) above, but dividend is projected to grow at a 10 percent rate for the next five years after which the growth rate will drop to 5% and stay at that rate forever. Using the same discount rate as calculated in (b), what is the intrinsic value of the stock today? What are the implications of such valuation for you as an investor?

QUESTION 2

i) Examine the nature of the efficient markets hypothesis (EMH) and explain how the different forms of efficiency can be tested.

ii) Discuss the implications of the EMH for users of the financial markets.

QUESTION 3

A）您刚刚被任命为​​Malou Investment的投资组合经理。投资者有两个可用的资产来形成他所需的投资组合。资产X的预期回报率为4％，标准偏差为9％。资产Y的预期回报率为8％，标准偏差为12％。

i）假设这两个资产的回报是完全相关的。如果投资者希望将投资组合权重1/3放在资产X上，而权重2/3在资产上y计算投资组合的预期收益和标准偏差。

ii) Assume now that the two asset returns are perfectly negatively correlated. If the investor places portfolio weight of α on asset X, write down an expression for the variance of the portfolio. Demonstrate that, in this scenario, the investor can form a portfolio with zero variance and find the appropriate weights associated with this portfolio

b）如果证券回报之间的相关性是完美的 - 如果所有证券的回报都以完美的一致性上下移动，那么多元化无能为力消除风险。安全回报高度相关但不是完全相关的事实，这意味着多元化可以降低风险，但不能消除'Markovitz（1981）。评论以上。

c）讨论多样化理论的基础假设

QUESTION 4

i）比较和对比各种类型的固定收益证券

ii) A new issue of callable bonds will generally carry a higher interest rate than a comparable issue of uncallable bonds. Discuss

iii）作为任何投资，债券的价格仅仅是其所有未来现金流的现值，以说明性示例讨论

iv）假设所有成熟度都是准确的。您观察到Boops＆Co，7 1/8％4年，半年度优惠券债券的交易价格为占102.347％。该债券在两年内为101，可在两年内提高100

a) What the current yield?

b) What is the yield to maturity?

c）打电话的收益率是多少？

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QUESTION 5

在以下任何三个（相等的标记）上写入

（i）债券凸度

（ii）债券市场指数

(iii) Options and Futures Investments

(iv) Sharpe and Treynor indices

(v) Un-hedged position of bond and equity portfolios