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Below are data regarding a market in which the CAPM discounts are held, and regarding two specific shares in the market - share A and share B. E (R_A) = 7% E (R_M) = 10% B_A = 0.6 B_B = 1.5 (5 points) Present the formula of the SML line and estimate the return expectation of share - B according to the model. (5 points) According to the model, what is expected to be the return expectation of an investment portfolio consisting of shares A and B in equal parts, assuming that the stock market is in equilibrium? (5 pts) Calculate the Trinor Index of A stock assuming that the risk-free asset (RF) return is 2.5% (remember, the market and all stocks including Equity A are in equilibrium). (6 points) In addition, there is a stock of Company C in the market. The company markets iPads to students who are forced to study in Zoom, distributes all the cash balance as a dividend. Management estimates are that the company will distribute a dividend of $ 7 (7 + 7) at the end of year 1 (T = 1) and the increase in dividend (g) is 1%, ie the dividend in the second year (T = 2) is (7 + 7) * 1.01 and in the third year is (7 + 7) * 1.01 * 1.01 and so the third year is (7 + 7) * 1.01 * 1.01 and so on to infinity. Assume that the beta of the company stock is 1.1334 (and that the market is in equilibrium). What is the stock price? (5 points) Assume that the following information is additionally given and that now the market is not necessarily in equilibrium according to the CAPM model: apart from the return expectation (E (Ri of stock C (which remained as you found in section D) it is also given that the STD standard deviation of stock C 40%. Assume that in the market there is a company D whose yield expectancy is (E (Rj of 12%) and STD standard deviation of 60%. Assume that the correlation between them (p, Ru) is completely negative minus one 1-. Calculate the yield and standard deviation of. The portfolio has the minimum risk consisting of shares C and Below are data regarding a market in which the CAPM discounts are held, and regarding two specific shares in the market - share A and share B. E (R_A) = 7% E (R_M) = 10% B_A = 0.6 B_B = 1.5 (5 points) Present the formula of the SML line and estimate the return expectation of share - B according to the model. (5 points) According to the model, what is expected to be the return expectation of an investment portfolio consisting of shares A and B in equal parts, assuming that the stock market is in equilibrium? (5 pts) Calculate the Trinor Index of A stock assuming that the risk-free asset (RF) return is 2.5% (remember, the market and all stocks including Equity A are in equilibrium). (6 points) In addition, there is a stock of Company C in the market. The company markets iPads to students who are forced to study in Zoom, distributes all the cash balance as a dividend. Management estimates are that the company will distribute a dividend of $ 7 (7 + 7) at the end of year 1 (T = 1) and the increase in dividend (g) is 1%, ie the dividend in the second year (T = 2) is (7 + 7) * 1.01 and in the third year is (7 + 7) * 1.01 * 1.01 and so the third year is (7 + 7) * 1.01 * 1.01 and so on to infinity. Assume that the beta of the company stock is 1.1334 (and that the market is in equilibrium). What is the stock price? (5 points) Assume that the following information is additionally given and that now the market is not necessarily in equilibrium according to the CAPM model: apart from the return expectation (E (Ri of stock C (which remained as you found in section D) it is also given that the STD standard deviation of stock C 40%. Assume that in the market there is a company D whose yield expectancy is (E (Rj of 12%) and STD standard deviation of 60%. Assume that the correlation between them (p, Ru) is completely negative minus one 1-. Calculate the yield and standard deviation of. The portfolio has the minimum risk consisting of shares C and
