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    Tugas Accounting Finance 4 - Kelompok 3

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    safira laras
    - The document discusses bond valuation and CAPM models for stocks X, Y, and Z. - It provides the expected returns, standard deviations, and betas for each stock, and calculates the required return and beta for a fund (Q) invested equally in each stock. - For bond X, it is asked to calculate the price today that should be paid for the bond if held for 5 years, given details of the bond and expected future interest rates. The calculated price is $987.87.

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    Tugas Accounting Finance 4 - Kelompok 3

    Uploaded by

    safira laras
    53 views5 pages
    - The document discusses bond valuation and CAPM models for stocks X, Y, and Z. - It provides the expected returns, standard deviations, and betas for each stock, and calculates the required return and beta for a fund (Q) invested equally in each stock. - For bond X, it is asked to calculate the price today that should be paid for the bond if held for 5 years, given details of the bond and expected future interest rates. The calculated price is $987.87.

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    Tugas Accounting Finance 4 _ Kelompok 3

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    - The document discusses bond valuation and CAPM models for stocks X, Y, and Z. - It provides the expected returns, standard deviations, and betas for each stock, and calculates the required return and beta for a fund (Q) invested equally in each stock. - For bond X, it is asked to calculate the price today that should be paid for the bond if held for 5 years, given details of the bond and expected future interest rates. The calculated price is $987.87.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    53 views5 pages

    Tugas Accounting Finance 4 - Kelompok 3

    Uploaded by

    safira laras
    - The document discusses bond valuation and CAPM models for stocks X, Y, and Z. - It provides the expected returns, standard deviations, and betas for each stock, and calculates the required return and beta for a fund (Q) invested equally in each stock. - For bond X, it is asked to calculate the price today that should be paid for the bond if held for 5 years, given details of the bond and expected future interest rates. The calculated price is $987.87.

    Copyright:

    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    of 5

    TUGAS 4

    ACCOUNTING FINANCE
    CHAPTER 8 & 9

    Disusun Oleh :
    Nuha Borninusa Sarwidi
    Faisal Malik Widya Prasetya
    Redy Sepriyadi
    Safira Pralampita Larasati

    MAGISTER MANAJEMEN
    KAMPUS YOGYAKARTA
    UNIVERSITAS GADJAH MADA
    2020
    8-6 Expected Returns
    Stocks X and Y have the following probability distributions of expected future returns :
    Probabilit
    X Y
    y
    0,1 (10%) (35%)
    0,2 2 0
    0,4 12 20
    0,2 20 25
    0,1 38 45

    a) Calculate the expected rate of return, r^ Y , for Stock Y (^r X = 12%)


    b) Calculate the standard deviation of expected returns, σx , for stock X (σy =
    20.35%). Now calculate the coefficient of variation for Stock Y. Is it possible that
    most investors will regard stock Y as being less risky than stock X? Explain.
    Answer :
    a)

    r^ Y = 0.1(-35%) + 0.2(0) + 0.4(20%) + 0.2(25%) + 0.1(45%)

    = 0.14 (14%)
    The range of possible returns for Stock Y is from -35% to + 45%. Y shares have a
    return of 14%.
    b)

     Standard Deviation of Stock X =


    Deviation : Actual – Expected
    Probability X
    Return 12%
    0,1 (10%) (22%)
    0,2 2% (10%)
    0,4 12% 0
    0,2 20% 8%
    0,1 38% 26%

    = (-22%)2 (0.1) + (-10%)2(0.2) + 0 + (8%)2(0.2) + (26%)2(0.1)


    = 148.8
    = 12.198 (12.20%)

     Coefficient of Variation for Stock Y (CVY)

    σ 20.35 %
    r^
    = 14 %
    = 1.45

    Coefficient of Variation for Stock X (CVX)


    σ 12.20 %
    = = 1.02
    r^ 12 %
    If Stock Y is less highly correlated with the market than X, it can be assumed that Stock Y
    has a lower beta value than Stock X. This causes Stock Y to be less risky in a portfolio sense.

    8-13 CAPM, Risk, and Return


    Consider the following information for Stocks X, Y, and Z. The returns on the three stocks
    are positively correlated, but they are not perfectly correlated. (That is, each of the correlation
    coefficients is between 0 and 1)
    Standard
    Stock Expected Return Beta
    Deviation
    X 9,00% 15% 0,8
    Y 10,75 15 1,2
    Z 12,50 15 1,6

    Fund Q has one-third of it funds invested in each of the three stocks. The risk-free rate is
    5.5%, and the market is in equilibrium. (That is required returns equal expected returns)

    a) What is the market risk premium rM – rRF ?


    b) What is the beta of Fund Q?
    c) What is the required return of Fund Q?
    d) Would you expect te standard deviation of Fund Q to be less than 15%, equal to
    15%, or greater than 15%? Explain.
    Answer :
    a) Using Stock X (or any stock):

    r1 = rRF + (rM – rRF) bx


    9% = 5.5% + (rM – rRF) 0.8

    (rM – rRF) = 4.375%


    The market risk premium rM – rRF is 4.375%

    b) bQ = w1 b1 + w2 b2 + w3 b3

    bQ = 1/3(0.8) + 1/3(1.2) + 1/3(1.6)


    bQ = 0.2667 + 0.4000 + 0.5333
    bQ = 1.2
    The beta of Fund Q is 1.2

    c) rQ = rRF + (rM – rRF) bQ


    rQ = 5.5% + 4.375%(1.2)
    rQ = 10.75%
    The required return of Fund Q is 10.75%

    d) Since the returns on the 3 stocks included in Portfolio Q are not perfectly positively
    correlated, one would expect the standard deviation of the portfolio to be less than
    15%.

    9-14 Bond Yields


    Mas Redy
    9-18 Bond Valuation
    Bond X is noncallable and has 20 years to maturity, a 9% annual coupon, and a $1,000 par
    value. Your required return on Bond X is 10%; if you buy it, you plan to hold it for 5 years.
    You (and the market) have expectations that in 5 years, the yield to maturity on a 15-year
    bond with similar risk will be 8.5%.How much should you be willing to pay for Bond X
    today? (Hint: You will need to know how much the bond will be worth at the end of 5 years.)
    Answer :

    Known :
    Bond par value: BPV=$1000
    Coupon rate: rc=9%
    Required return: r0=10%
    Years to maturity: n=20
    Interest rate at the end of 5th years: r1=8.5%
    PMT=BPVrc
    PMT=10009%
    PMT=90

    In excel we can use PV formula to find the answer


    1. The first is to find the Bond value at the end of 5th years, so we can use following formula:
    PV(r1,n-5,-PMT,-BPV,0) and we get FV5=$1,041.52
    2. Then we can find the Bond current value at required return using the same formula:
    PV(r0,5,-PMT,-FV5,0) and we get PV=$987.87

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