(10). The table below presents the price of stock A and the points of a market index over the last four months. + I Month A 1 100 1112 M 2 4 105 103 1150 1190 a. The holding period logarithmic return of stock A equals: A. 12%; B. 8.85%; C. 13,97%; D. b. The beta coefficient of stock A equals: A. 0,64; B. 0,19; C. 1,64; D. c. The estimated alpha coefficient from the market model equals d. The coefficient of determination from the market model equals 3 108 1200 ..... ...... % % 14/000

(10). The table below presents the price of stock A and the points of a market index over the last four months. + I Month A 1 100 1112 M 2 4 105 103 1150 1190 a. The holding period logarithmic return of stock A equals: A. 12%; B. 8.85%; C. 13,97%; D. b. The beta coefficient of stock A equals: A. 0,64; B. 0,19; C. 1,64; D. c. The estimated alpha coefficient from the market model equals d. The coefficient of determination from the market model equals 3 108 1200 ..... ...... % % 14/000

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Consider the three stocks in the following table. Pt represents price at time t, Qt represents shares outstanding at time t. Stock C splits two for one in the second period from t=1 to t=2. Calculate the rate of return on a price-weighted index consisting of the three stocks for the first period from t=0 to t=1. Answer in percentage. Stock P0 Q0 P1 Q1 P2 Q2 A 70 475 75 475 75 475 B 45 850 40 850 40 850 C 50 300 60 300 30 600 a. 0.00% b. 2.49% c. 6.06% d. 8.95% e. 1.30%
Consider the three stocks in the following table. P, represents the price at time t, and Q, represents the total shares outstanding at time t. Calculate the rate of return on a price-weighted index of three stocks for the first period (t=0 to t=1). Table 2: Data for Q4 & Q5 Q0 P1 Q1 PO 100 50 105 50 A B 200 100 210 100 C 300 100 250 100
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 3.2% + 1.10RM + eA RB = -1.4 % + 1.25RM + eB OM= 30%; R-squareд = 0.28; R-squareg = 0.12 What is the covariance between each stock and the market index? Note: Calculate using numbers in decimal form, not percentages. For example use "20" for calculation if standard deviation is provided as 20%. Do not round your intermediate calculations. Round your answers to nearest whole number. Answer is complete but not entirely correct. Stock A Stock B Covariance 93 x 101 x
The index model has been estimated for stocks A and B with the following results: = 0.12 +0.670RM+еA RA= RB=0.04 +1.512RM + еB °M= 0.330 σ(eд) = 0.20 σ(eB) = 0.10 What is the covariance between each stock and the market index? (Round your answers to 4 decimal places.) Stock A covariance Stock B covariance
1.You are given the following information regarding prices for a sample of stocks. PRICE STOCK NUMBER OF SHARES T T +1 A 1,000,000 60 80 B 10,000,000 20 35 C 30,000,000 18 25 a.Construct a price-weighted index for these three stocks, and compute the percentage change in the index for the period from T to T + 1. b.Construct a value-weighted index for these three stocks, and compute the percentage change in the index for the period from T to T + 1 c.Briefly discuss the difference in the results for the two indexes.
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA= 5.0% + 1.30RM + eA RB= -2.0% + 1.6RM + eB sigmaM= 20% ; R-squareA= 0.20 ; R-squareB= 0.12 What is the standard deviation of each stock (write as percentage, rounded to 2 decimal places)?
The index model has been estimated from the excess returns for stock A with the following results: = RA 12.00% +1.55RM+ eA °M = 24.00% σ(eд) = 18.50% What is the standard deviation of the return for stock A? (Round your answer to 2 decimal places.) Standard deviation %
Consider the three stocks in the following table. Pt represents price at time t, and Qt represents shares outstanding at time t. Stock C splits two for one in the last period. P0 Q0 P1 Q1 P2 Q2 A 110 500 115 500 115 500 B 90 600 85 600 85 600 C 80 600 100 600 50 1,200 a. Calculate the rate of return on a price-weighted index of the three stocks for the first period (t = 0 to t = 1). (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. Calculate the new divisor for the price-weighted index in year 2. (Do not round intermediate calculations. Round your answer to 2 decimal places.) c. Calculate the rate of return for the second period (t = 1 to t = 2).
1. Consider the three stocks in the following table. P, represents price at time t, and Q, represents shares outstanding at time t. Calculate the rates of return on the following indexes of the three stocks: A B с Po 90 50 100 a. A market-value-weighted index. b. An equally weighted index. Qo 100 200 200 P₁ 95 45 110 Q₁ 100 200 200
Suppose that the index model for stocks A and B is estimated from excess returns with the following results: RA = 3.6% + 1.2RM + eA RB = -1.6% + 1.5RM + eB OM = 16%; R-squarea = 0.25; R-square; = 0.15 What is the covariance between each stock and the market index? (Calculate using numbers in decimal form, not percentages. Do not round your intermediate calculations. Round your answers to 3 decimal places.) Covariance Stock A Stock B
1. You are given the following information regarding prices for a sample of stocks. PRICE Stock Number of Shares T+1 A 1,000,000 60 80 10,000,000 20 35 30,000,000 18 25 Chapter 4: Security Market Indexes and Index Funds 117 a. Construct a price-weighted index for these three stocks, and compute the percentage change in the index for the period from T to T + 1. b. Construct a value-weighted index for these three stocks, and compute the percentage change in the index for the period from T to T + 1. e. Briefly discuss the difference in the results for the twu indexes. 2. a. Given the data in Problem 1, construct an equal-weighted index by assuming $1,000 is invested in each stock. What is the percentage change in wealth for this portfolio? b. Compute the percentage of price change for each of the stocks in Problem 1. Compute the arithmetic mean of these percentage changes. Discuss how this answer compares to the answer in part (a). c. Compute the geometric mean of the percentage changes…
Consider the three stocks in the following table. Pt represents price at time t, and Qt represents shares outstanding at time t. Stock C splits two for one in the last period. a. A market-value-weighted index. rate of returnb. An equally weighted index. rate of return

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