[其他] 財管求解
請問有神人可以解救我的財管嗎><
1. Suppose you group all the stocks in the world into two mutually exclusive p
ortfolios (each stock is in only one portfolio): growth stocks and value stock
s. Suppose the two portfolios have equal size (in terms of total value), a cor
relation of 0.6, and the following characteristics:
Expected Returm:
Value Stocks:13% , Growth Stocks:17%
Volatility :
Value Stocks:12% , Growth Stocks:25%
The risk free rate is 2%. What is the expected return and volatility of the
market portfolio (which is a 50–50 combination of the two portfolios)?
Does the CAPM hold in this economy? (Hint : Is the market portfolio’s Sharpe
ratio higher than those of growth & value stocks?)
2. How does leverage change expected return (lower, higher, or unchanged)? How
does leverage change risk (lower, higher, or unchanged)? Under perfect capita
l market, how does leverage change firm value or weighted average cost of capi
tal ((lower, higher, or unchanged)? With taxes, how does leverage change firm
value or weighted average cost of capital ((lower, higher, or unchanged)?
3. Suppose that a firm has no debt and an equity cost of capital of 12%. The f
irm now wants to increase its debt-to-value ratio (=D/(D+E), also called debt-
to-asset ratio) to 60% and its cost of debt is 5%. What would its cost of equi
ty be after taking on the debt?
4. A firm is expected to generate free cash flow of $2 million next year, and
it will grow at a rate of 3% per year forever. The firm has an equity cost of
capital of 10%, a debt cost of capital of 5%, a marginal corporate tax rate of
20%, and a debt-to-asset ratio D/(D+E) of 40%. What is the firm’s after-tax
weighted average cost of capital (WACC) ? What should be the firm value?
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