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1、Chapter9:CapitalMarketTheory:AnOverview9.1a.Capitalgains=$38-$37=$1pershareb.Totaldollarreturns=Dividends+CapitalGains=$1,000+($1*500)=$1,500Onapersharebasis,thiscalculationis$2+$1=$3persharec.Onapersharebasis,$3/$37=0.0811=8.11%Onatotaldollarbasis,$1,500/(500*$37)
2、=0.0811=8.11%d.No,youdonotneedtosellthesharestoincludethecapitalgainsinthecomputationofthereturns.Thecapitalgainisincludedwhetherornotyourealizethegain.Sinceyoucouldrealizethegainifyouchoose,youshouldincludeit.9.2PurchasePrice=$10,400/200=$52.00a.Totaldollarreturn=
3、$600+200($54.25-$52)=$1,050b.Capitalgain=200($54.25-52)=$450c.PercentageReturn=$1050/$10400=10.10%d.DividendYield=$600/(200*52)=5.77%9.39.4Theexpectedholdingperiodreturnis:9.5Youcanfindthenominalreturns,I,oneachofthesecuritiesinthetext.Theinflationrate,p,fortheperi
4、odisalsointhetext.Itis3.2%.Therealreturn,r,is(1+I)/(1+p)-1.Anapproximationfortherealrateisr=i-p.Noticethattheapproximationisgoodwhenthenominalinterestrateisclosetotheinflationrate.NominalRealApproximationa.CommonStocks12.2%8.7%9.2%b.L/TCorp.Bonds5.7%2.4%2.5%c.L/TGo
5、vt.Bonds5.2%1.9%2.0%d.U.S.T-Bills3.7%0.5%0.5%9.6E(R)=T-Billrate+AverageExcessReturn=6.2%+(12.4%-3.9%)=14.7%9.7Supposethetwocompanies’stockprice2yearsagowere2yearsago1yearagoTodayKoke1.11.1*0.9*=0.99Pepsee0.90.9*1.1*=0.99Bothstockshavethesameprices,buttheirpricesare
6、lowerthan2yearsago.9.8Five-yearHoldingPeriodReturn=(1-0.0491)´(1+0.2141)´(1+0.2251)´(1+0.0627)´(1+0.3216)-1=98.64%9.9RiskPremium=6.1-3.8=2.3%ExpectedReturnonthemarketlongtermcorporatebonds=4.36%+2.3%=6.96%9.10b.R-0.026-0.1850.03423-0.010-0.1690.028560.4380.2790.077
7、840.047-0.1120.012540.1640.0050.000030.3010.1420.020160.1990.0400.00160Total0.17496Note,becausethedataarehistoricaldata,theappropriatedenominatorinthecalculationofthevarianceisN-1.9.11a.CommonTreasuryRealizedStocksBillsRiskPremium-732.4%11.2%21.2%-6-4.914.7-19.6-52
8、1.410.510.9-422.58.813.7-36.39.9-3.6-232.27.724.5Last18.56.212.3b.Theaverageriskpremiumis8.49%.c.Yes,itispossiblefortheobservedriskpremiumtobeneg
