Đang chuẩn bị liên kết để tải về tài liệu:
Tài chính doanh nghiệp ( Bài tập)_ Chapter 12

Tài liệu bài tập thưc hành môn Tài chính doanh nghiệp_ Chapter 12 | Chapter 12 Risk Return and Capital Budgeting 12.1 The discount rate for the project is equal to the expected return for the security RS since the project has the same risk as the firm as a whole. Apply the CAPM to express the firm s required return RS in terms of the firm s beta ft the risk-free rate RF and the expected market return RM. Rs Rf P x Rm - Rf 0.05 0.95 0.09 0.1355 Subtract the initial investment at year 0. To calculate the PV of the cash inflows apply the annuity formula discounted at 0.1355. NPV C0 C1 ATr - 1 200 000 340 000 A50.1355 - 20 016.52 Do not undertake the project since the NPV is negative. 12.2 a. Calculate the average return for Douglas stock and the market. R D Sum of Yearly Returns Number of Years -0.05 0.05 0.08 0.15 0.10 5 0.066 Rm -0.12 0.01 0.06 0.10 0.05 5 0.020 b. To calculate the beta of Douglas stock calculate the variance of the market RM- Rm and the covariance of Douglas stock s return with the market s return RD - Rd x RM-Rm . The beta of Douglas stock is equal to the covariance of Douglas stock s return and the market s return divided by the variance of the market. rd - Rd Rm - Rm Rm - Rm 2 Rd - Rd Rm - Rm -0.116 -0.14 0.0196 0.01624 -0.016 -0.01 0.0001 0.00016 0.014 0.04 0.0016 0.00056 0.084 0.08 0.0064 0.00672 0.034 0.03 0.0009 0.00102 0.0286 0.02470 ßD Cov Rd Rm Var Rm _ Rd - Rd Rm- Rm Rm - Rm 2 0.02470 0.0286 0.864 The beta of Douglas stock is 0.864. Copyright 2003 McGraw-Hill. All rights reserved. 12.3 Calculate the square root of the stock s variance and the market s variance to find the standard deviation ct of each. CTc ct2c 1 2 0.004225 1 2 0.065 M h2m 1 2 0.001467 1 2 0.0383 Use the formula for beta Pc Corr Rc Rm x CTc I CTm 0.675 0.065 0.0383 1.146 The beta of Ceramics Craftsman is 1.146. 12.4 a. To compute the beta of Mercantile s stock divide the covariance of the stock s return with the market s return by the market variance. Since those two values are provided in the problem the 13 quarterly returns of .