Corporate Finance Assignment

Results

		Finance for Executives - Problem Set #3
		Name:	Robert Whitelaw			Score:
Q1		rf	2%					Excess Returns
		rM	6%				Month	MMM-rF	rM-rF
		SD[rM]	15%				1	10.38%	9.54%
							2	-2.88%	3.88%
	a		beta	r			3	0.33%	0.60%
		I	1.4				4	2.75%	6.82%
		ii	0.6				5	1.87%	1.99%
		iii	-0.2				6	5.52%	3.49%
							7	1.37%	0.45%
	b		beta	r			8	3.97%	2.90%
		I		10%			9	-2.34%	-1.27%
		ii		5%			10	0.50%	-1.75%
		iii		-1%			11	-8.13%	-2.36%
							12	-4.14%	-5.99%
	c		r	w(rf)	w(rM)		13	-13.49%	-7.59%
		I	4%				14	10.07%	11.35%
		ii	5%				15	3.28%	-0.28%
		iii	7%				16	0.85%	0.74%
							17	6.09%	5.05%
	d		sd[r]	w(rf)	w(rM)		18	1.71%	4.42%
		I	6%				19	1.84%	3.11%
		ii	15%				20	0.17%	-0.85%
		iii	21%				21	-4.90%	-6.19%
							22	6.15%	3.89%
	e	P0	50				23	1.82%	0.79%
		P1	53				24	2.14%	2.55%
		D1	0				25	-0.20%	2.73%
							26	-5.23%	-1.76%
			beta	alpha			27	4.50%	0.78%
		i	1.0				28	2.08%	1.18%
		ii	2.0				29	8.29%	5.57%
							30	4.07%	1.29%
Q2		beta	mkt cap				31	2.22%	4.03%
		1.1	100				32	-1.50%	1.55%
		1.2	200				33	5.91%	2.80%
		1.4	300				34	-0.83%	-1.20%
							35	7.39%	5.65%
	a	EW beta					36	-2.74%	-2.71%
							37	5.13%	3.77%
	b	VW beta					38	5.39%	4.18%
							39	6.61%	3.12%
Q3	a	beta(1)	0.8				40	5.05%	2.81%
		beta(2)	1.3				41	-8.60%	-3.32%
		firm beta					42	5.79%	4.65%
							43	0.69%	0.43%
	b	beta(1)	0.8				44	2.53%	-0.19%
		beta(2)					45	3.11%	2.06%
		firm beta	1.0				46	0.48%	2.61%
							47	-1.64%	-2.04%
	c	beta					48	2.81%	4.24%
							49	-1.61%	-1.97%
Q4	a	beta					50	8.53%	2.52%
							51	4.67%	2.55%
	b	alpha					52	2.64%	-0.06%
							53	-1.23%	-3.11%
	c	% sys					54	4.56%	6.13%
							55	-2.19%	-1.12%
Q5		rf	2%				56	-5.19%	0.59%
		rM	6%				57	2.36%	1.36%
		SD[rM]	15%				58	-3.00%	-1.53%
		beta	1				59	-1.92%	1.54%
		SD[rStock]	30%				60	-5.42%	-6.04%
	a	SD[sys]
	b	SD[idio]
	c	% sys
Q6		E1	2.00
		b	40%
		beta	2.00
		rf	2%
		rM-rf	4%
	a	r
	b	g	4%
		i	V0
		ii	r
	c	P0	16.00
		g
Q7		D1-D5	0
		D6	1
		g7-15	10%
		g(perpetual)	3%
		beta	1.00
		rf	2%
		rM-rf	4%
	a	r
	b	V15
	c	V5
	d	V0
Q8		Time	0	1	2	3	4
		CF	-100	0	70	0	70
		beta	0.50
		rf	2%
		rM-rf	4%
	a	r
	b	NPV

1

2

3

4

5

A

B

C

D

Finance for Executives - Problem Set #3

Name:

Robert Whitelaw

Q1

rf

2%

rM

6%