Tugas Accounting Finance 4 - Kelompok 3 [PDF]

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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 y 0,1 0,2 0,4 0,2 0,1



X



Y



(10%) 2 12 20 38



(35%) 0 20 25 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 = Probability



X



0,1 0,2 0,4 0,2 0,1



(10%) 2% 12% 20% 38%



Deviation : Actual – Expected Return 12% (22%) (10%) 0 8% 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 r^



=



20.35 % = 1.45 14 %



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) Stock



Expected Return



X Y Z



9,00% 10,75 12,50



Standard Deviation 15% 15 15



Beta 0,8 1,2 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