罗斯《公司理财》英文习题答案DOCchap012

b.

12.6 a.

b. c. d.

B-124

The mechanics of computing the means and the deviations were presented in an earlier chapter.

RT = 0.196 / 12 = 0.016333 RM = 0.236 / 12 = 0.019667 E(RT -RT) (RM -RM) = 0.038711 E(RM -RM)2 = 0.038588 = 0.038711 / 0.038588 = 1.0032

The beta of the average stock is 1. Mercantile’s beta is close to 1, indicating that its stock has average risk.

RM can have three values, 0.16, 0.18 or 0.20. The probability that RMtakes one of these values is the sum of the joint probabilities of the return pair that include the particular value of RM. For example, if RM is 0.16, RJ will be 0.16, 0.18 or 0.22. The probability that RM is 0.16 and RJ is 0.16 is 0.10. The probability that RM is 0.16 and RJ is 0.18 is 0.06. The probability that RM is 0.16 and RJ is 0.22 is 0.04. The probability that RM is 0.16 is, therefore, 0.10 + 0.06 + 0.04 = 0.20. The same procedure is used to calculate the probability that RM is 0.18 and the probability that RM is 0.20. Remember, the sum of the probability must be one.

RM

Probability 0.16 0.20 0.18 0.60 0.20 0.20 i.

R

M

= 0.16 (0.20) + 0.18 (0.60) + 0.20 (0.20) = 0.18

ii. 2M = (0.16 - 0.18) 2 (0.20) + (0.18 - 0.18) 2 (0.60) + (0.20 - 0.18) 2 (0.20)

= 0.00016

iii. M = 0.00016

1

2 = 0.01265

.18 .20 .20 .40 .22 .20 .24

.10

i. Ej = .16 (.10) + .18 (.20) + .20 (.40) + .22 (.20) + .24(.10) = .20 ii. j2 = (.16 - .20)2 (.10) + (.18 - .20)2 (.20) + (.20 - .20)2 (.40) + (.22 - .20)2 (.20) + (.24 - .20)2 (.10) = .00048

Answers to End-of-Chapter Problems