PROBLEMAS CAPITULO 10, 11 y

HUGO CORONA PLATT

A01685094

8 DE MARZO DE 2020
PROFESOR TITULAR: DR. LUIS HUMBERTO S
PROFESOR TUTOR: MTRA. KARLA MACIAS G
ULO 10, 11 y 13

UIS HUMBERTO SANTACRUZ MEDINA

KARLA MACIAS GONZALEZ
4. Calculating returns. Suppose you bought a bond with a 4.9% coupon rate one
year ago for $1,010. The bond sells today for $1,052.
a. Assuming a $1,000 face value, what was your total dollar return on this investment
over the past year?
b. What was your total nominal rate of return on this investment over the past year?
c. If the inflation rate last year was 3%, what was your total real rate of return on this
investment?

A
Tasa cupon 4.9%
Precio Anterior 1010
Precio Presente 1052
Face Value 1000
Pago Cupon 49 Face value x Tasa Cupon
Total Dollar return 91 Precio presente - precio anterior + Pago Cupon

B
Cambio precio 42 Precio presente - precio anterior
Total nominal rate 9% Pago cupón + Cambio precio / Precio anterior

C
Inflación 3% 1.09 1.03 1.05835
Total real rate of return 6% 1 + Nominal Rate = (1 + Inflación) x (1 + Total return)

9. Calculating returns and variability. You've observed the following returns on SkyNet
Data Corporation's stock over the past five years: 19%, 24%, 11%, -9%, and 13%
a. What was the arithmetic average return on the company's stock over this 5 year period?
b. What was the variance of the company's returns over this period? The standard deviation?

A
Returns 19%
24%
11%
-9%
13%
Average 12%

B
Variance 19% 0.005476
24% 0.015376
11% 3.6E-05
-9% 0.042436
 13% 0.0169
0.020056
Standard Deviation 1%
 10. Calculating real returns and risk premiums. In problem 9, suppose the a
rate over this period was 3.6% and the average T-bill rate over the period w
a. What was the average real return on the company's stock?
b. What was the average nominal risk premium on the company's stock?

18. Return Distribution. Refer to Table 10.2 What range of returns would yo
to see 68% of the time for large company stocks? What about 95% of the tim

deviation?

Standard Deviation 8.3%

Arithmetic Mean 6.4%
Range of Return 68% -1.9% Arithmetic Mean - Standard Deviation
Range of Return 95% -10.2% 17%
roblem 9, suppose the average inflation
l rate over the period was 4.1%

he company's stock?

nge of returns would you expect

hat about 95% of the time?

n - Standard Deviation
8. Returns and Standard Deviations. Consider the following information:
Probability
State of economy of state of Stock A Stock B Stock C
economy
Boom 0.75 0.06 0.16 0.33
Bust 0.25 0.14 0.02 -0.06
a. What is the expected return on an equally weighted portfolio of these three stocks?
b. What is the variance of a portfolio invested 20% each in A and B and 60% in C?

A.
Boom 18% Stock A + B + C / 3
Bust 3%
Expected Return 15% Probability x Boom + Probability x Bust

B
Boom 24% 20% x Stock A + 20% X Stock B x 60% x Stock C
Bust -0.40%
Expected Return 18% Probability x Boom + Probability x Bust
Variance 2%

17. Using the SML. Asset W has an expected return of 12.3% and a beta of 1.2. If
the risk free rate is 4%, complete the following table for portfolios of Asset W and
a risk free asset. Illustrate the relationship between portfolio expected return and portfolio
beta by plotting the expected returns against the betas. What is the slope of the line that
results?
Percentage of Portfolio
Portfolio
portfolio in Asset Expected Beta
W Return
0% 4.00% 0 MRP 7% Expected Return - Risk Free
25% 6.08% 0.3
50% 8.15% 0.6
75% 10.23% 0.9
100% 12.30% 1.2
125% 14.38% 1.5
150% 16.45% 1.8
 22. Portfolio Returns and Deviations. Consider the following in

State of Probability
of State of Stock A
Economy Economy
Boom 0.25 0.25
Normal 0.55 0.18
Bust 0.20 0.03
a. If your portfolio is invested 40% each in A and B and 20% in C
the portfolio expected return? The variance? The standard dev
b. If the expected T-bill rate is 3.80%, what is the expected risk
portfolio?
c. If the expected inflation rate is 3.50%, what are the approxim
expected real returns on the portfolio? What are the approxim
real risk premiums on the portfolio?

pected Return - Risk Free Rate / Beta

viations. Consider the following information about three stocks:

Stock B Stock C

0.35 0.40
0.13 0.03
-0.18 -0.45
40% each in A and B and 20% in C what is
? The variance? The standard deviation?
s 3.80%, what is the expected risk premium on the

te is 3.50%, what are the approximate and exact

portfolio? What are the approximate and exact expected
3. Calculating Cost of Debt. Shanken Corp. Issued a 30 year, 5.9% semiannual bond
three years ago. The bond currently sells for 106% of its face value. The company's
tax rate is 22%
a. What is the pretax cost of debt
b. What is the aftertax cost of debt
c. Which is more relevant, the pretax or aftertax cost of debt? Why?

A
Años 30
Market Price 106
Interes 0.0295 5.9% / 2
Pre tax cost of debt -33% -0.2
103

B
Aftertax -25.82% Pre tax cost of debt x 1 - Tax rate

C
Aftertax porque es más relevante para la empresa ya que representa el costo real
y lo pagado después de que se agrega el incentivo del impuesto

11. Finding the WACC. Given the following information for Huntington Power Co. Find the
WACC. Assume the company's tax rate is 21%
Debt 17,000 4.9% coupon bonds outstanding, $2,000 par
value, 20 years to maturity, selling 105% of par, the
bonds make semmiannual payments
Common Stock 425,000 shares outstanding, selling for $67 per share, the
beta is .88
Market 7% market risk premium and 3.5% risk free rate

Cost of debt 2% Rate

After tax cost 1.78%
Cost of equity 0.22% Risk free x beta x market risk premium
Total value debt 35700000 Coupon bonds x market price
Total value equity 28475000 Shares x share price
Total value firm 64175000 Value debt + value equity
Weight of debt 56% Total value debt / total value firm
Weight of equity 44% Total value equity / total value firm
WACC 1.09% Cost of equity x weight of equity + after tax cost x weight of debt
 -0.1705 -0.00165534 -0.16553398 -0.33106796

x cost x weight of debt