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ExercisesChapter10

The document contains exercises related to financial calculations, including dividend yield, capital gains yield, arithmetic average return, variance, and standard deviation for different stocks. It also includes calculations for holding period returns (HPR) and average returns over multiple years. Key results include an arithmetic average return of 8.40% for stock X, 12.80% for stock Y, and a 5-year HPR of 54.30%.

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3 views

ExercisesChapter10

The document contains exercises related to financial calculations, including dividend yield, capital gains yield, arithmetic average return, variance, and standard deviation for different stocks. It also includes calculations for holding period returns (HPR) and average returns over multiple years. Key results include an arithmetic average return of 8.40% for stock X, 12.80% for stock Y, and a 5-year HPR of 54.30%.

Uploaded by

huongle.31231022744
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Exercises Chapter 10

Q1.
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 1.95 + (84 − 76)
r= = = 13.09%
𝑃𝑡−1 76

Q2.
𝐷𝑡 1.95
Dividend yield = = = 2.57%
𝑃𝑡−1 76
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 84 −76
Capital gains yield = = = 10.53%
𝑃𝑡−1 76

Q7.
The arithmetic average return for each stock:
𝑁
(𝑋 )
∑ 𝑟 +𝑟 +𝑟 +𝑟 +𝑟 0.12 + 0.24 − 0.27 + 0.14 + 0.19
𝑋𝐴 = 𝑖=1 𝑖 = 1 2 3 4 5 =
̅̅̅ = 8.40%
N 𝑁 5
𝑁
(𝑌 )
∑ 𝑟 +𝑟 +𝑟 +𝑟 +𝑟 0.14 + 0.29 − 0.33 + 0.17 + 0.37
𝑌̅𝐴 = 𝑖=1 𝑖 = 1 2 3 4 5 = = 12.80%
N 𝑁 5

The variance:
∑𝑁 ̅
𝑖=1(𝑋𝑖 − X)² (𝑟1 − 𝑟̅ )2 + (𝑟2 − 𝑟̅ )2 + (𝑟3 − 𝑟̅ )2 + (𝑟4 − 𝑟̅ )2 + (𝑟5 − 𝑟̅ )2
σ𝑋2 = =
N − 1 𝑁−1
(0.12 − 0.084)² + (0.24 − 0.084)² + (−0.27 − 0.084)² + (0.14 − 0.084)² + (0.19 − 0.084)²
=
5 −1

= 0.04133
∑𝑁 ̅
𝑖=1(𝑌𝑖 − Y)² (𝑟1 − 𝑟̅ )2 + (𝑟2 − 𝑟̅ )2 + (𝑟3 − 𝑟̅ )2 + (𝑟4 − 𝑟̅ )2 + (𝑟5 − 𝑟̅ )2
σ2𝑌 = =
N − 1 𝑁−1
(0.14 − 0.128)² + (0.29 − 0.128)² + (−0.33 − 0.128)² + (0.17 − 0.128)² + (0.37 − 0.128)²
=
5 −1
= 0.07412
The standard deviation:
σ𝑋 = √σ𝑋2 = √0.04133 = 20.33%

σ𝑌 = √σ2𝑌 = √0.07412 = 27.22%

Q9.
∑𝑁
𝑖=1(𝑟𝑖 ) 𝑟1 + 𝑟2 + 𝑟3 + 𝑟4 + 𝑟5 0.19 + 0.24 + 0.11 − 0.09 + 0.13
a. 𝑟̅𝐴 = = = =11,6%
N 𝑁 5

b. Variance:
∑𝑁 ̅ 2
𝑖=1(𝑋𝑖 −X) (𝑟1 −𝑟̅ )2 +(𝑟2 −𝑟̅ )2 +(𝑟3 −𝑟̅ )2 +(𝑟4 −𝑟̅ )2 +(𝑟5 −𝑟̅ )2
σ2 = =
N−1 𝑁−1
(0.19 − 0.116)² + (0.24 − 0.116)² + (0.11 − 0.116)² + (−0.09 − 0.116)² + (0.13 − 0.116)²
=
5 −1
= 0.01588

Standard deviation:

σ = √σ2 = √0.01588 = 12.6%

Q12.
5-year HPR = (1+𝑟1 ) x (1+𝑟2 ) x (1+𝑟3 ) x (1+𝑟4 ) x (1+𝑟5 ) - 1
= (1+12,79%) x (1+9.21%) x (1+14.68%) x (1+21.83%) x (1−10.34%) - 1
= 54.30%

Q20.
∑𝑁
𝑖=1(𝑟𝑖 ) 𝑟1 + 𝑟 2 + 𝑟3 + 𝑟4 + 𝑟5 0.23 + 0.11 + 0.37 – 0.03 + 0.22 – 0.17
𝑟̅𝐴 =
N
= 𝑁
= 6
= 12.17%
𝑟̅𝐺 = [(1+𝑟1 ) x (1+𝑟2 ) x (1+𝑟3 ) x (1+𝑟4 ) x (1+𝑟5 ) x (1+𝑟6 )]1/N – 1
= [(1 + 0.23) x (1 + 0.11) x (1 + 0.37) x (1 – 0.03) x (1 + 0.22) x (1 – 0.17)]1/6 – 1
= 10.67%

Q21.
The return for each year is:
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 1.15 + (68.13 − 64.12)
Year 2: 𝑟1 = = = 8.05%
𝑃𝑡−1 64.12
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 1.25 + (61.23 – 68.13)
Year 3: 𝑟2 = = = −8.29%
𝑃𝑡−1 68.13
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 1.36 + (74.27 − 61.23)
Year 4: 𝑟3 = = = 23.52%
𝑃𝑡−1 61.23
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 1.47 + (77.38 − 74.27)
Year 5: 𝑟4 = = = 6.17%
𝑃𝑡−1 74.27
𝐷𝑡 +(𝑃𝑡 − 𝑃𝑡−1 ) 1.60 + (86.19 − 77.38)
Year 6: 𝑟5 = = = 13.45%
𝑃𝑡−1 77.38

∑𝑁
𝑖=1(𝑟𝑖 ) 𝑟1 + 𝑟 2 + 𝑟3 + 𝑟4 + 𝑟5 0.0805 – 0.0829 + 0.2352 + 0.0617 + 0.1345
𝑟̅𝐴 = = =
N 𝑁 5

= 8.58%

𝑟̅𝐺 = [(1+𝑟1 ) x (1+𝑟2 ) x (1+𝑟3 ) x (1+𝑟4 ) x (1+𝑟5 ) x (1+𝑟6 )]1/N – 1


= [[(1 + 0.0805) x (1 – 0.0829) x (1 + 0.2352) x (1 + 0.0617) x (1 + 0.1345)]1/5 – 1
= 8.07%

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