Capm Essay

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CAPM: Solutions to Practice Questions Question One Calculate the required rate of return for a risky asset with a ( of 1.75 given an expected return on the market of 14% and a risk free rate of 7%. The required rate of return on the asset is calculated using CAPM: [pic] Question Two Calculate the required rate of return for a risky asset whose correlation with the market is 0.5 given the standard deviation of the stock is 10%, the standard deviation of the market is 15%, the expected return on the market is 11% and the risk free rate is 6%. To calculate the required rate of return for the asset, we must first calculate its beta: [pic] We can now calculate the required rate of return for the asset using CAPM: [pic] Question Three What is the risk free rate of return given the required rate of return on a risky asset with a ( of 2.0 is 16% and the expected return on the market is 12%? We can calculate the risk free rate of return by rearranging the CAPM: [pic] Question Four You are evaluating an investment project that has initial outlay of $10 million and will result in cash flows of $1 million in year 1 and then growing in perpetuity at 4%. The firm has a ( of 0.75 but this project is twice as risky as the firm’s normal operations. The expected return on the market is 10% and the risk free rate is 6%. Should the firm undertake this project? The first stage of deciding whether the firm should undertake the project is to calculate the required rate of return for the project using CAPM. As the project is twice as risky as the firm’s normal operations, it beta will be equal to 2 x 0.75 = 1.5: [pic] We will now use this required rate of return to calculate the NPV of the project: [pic] As the project has a positive NPV, it should be accepted. Question Five Consider an investment

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