1、CorporateFinance93e(BerkZDeMarzo)Chapter12EstimatingtheCostofCapita1.12.1TheEquityCostofCapita1.Usethefo1.1.owinginformationtoanswerthequestion(三)be1.ow.BetaVo1.ati1.itya*r,./rEenieO.4520%“Meenie”O.7518%Miney”1.0535%Moe1.2025%Assumethattherisk-freerateofinterestis3%andyouestimatethemarketsexpectedre
2、turntobe9%.1) Whichfirmhasthemosttota1.risk?A) EenieB) MeenieC) MincyD) MoeAnswer:CExp1.anation:C)Tota1.riskismeasuredusingvo1.ati1.ityandMineyhasthehighestvo1.ati1ity,hencethemosttota1.risk.Diff:1Section:12.1TheEquityCostofCapita1.Ski11:Ana1.ytica1.2) Whichfirmhasthe1.eastmarketrisk?A) EcnicB) Meen
3、ieC) MineyD) MoeAnswer:Exp1.anation:A)MarketriskismeasuredusingbetaandEeniehasthe1.owestbeta,hencethe1.owestmarketrisk.Diff:1Section:12.1TheEquityCostofCapita1.Ski1.1.:Ana1.ytica1.3) Whichfirmhasthehighestcostofequitycapitai?A) EenieB) MeenieC) MincyD) MoeAnswer:I)Exp1.anation:D)Costofcapita1.ismeas
4、uredusingtheCAPMandisa1.inearfunctionofbeta.Thereforethefirmwiththehighestbeta(Moe)hasthehighestcostofequitycapita1.Diff:1Section:12.1TheEquityCostofCapita1.Ski1.1.:Ana1.ytica1.4) Theequitycostofcapita1.forVineyisc1.osestto:A) 6.30%B) 7.50%C) 9.30%D) 9.75%Answer:CExp1.anation:C)rMiney=3%+1.05(9%-3%)
5、9.3%Diff:1Section:12.1TheEquityCostofCapita1.Ski1.1.:Ana1.ytica1.5) Theequitycostofcapita1.forMeenieisc1.osestto:A) 4.50%B) 7.50%C) 9.30%D) 9.75%Answer:BExp1.anation:B)iMeenie=3%+0.75(9%-3%)=7.5%Diff:1Section:12.1TheEquityCostofCapita1.Ski11:AnaIy1.iCa1.6) Theriskpremiumfor“Vccnicisc1.osestto:)4.50
6、B) 7.50%C) 9.30%D) 9.75%Answer:AExp1.anation:)riskPremiUmMeenie=0.75(9%-3%)=4.5%Diff:2Section:12.1TheEquityCostofCapita1.Ski11:.Ana1.ytica1.12.2TheMarketPortfo1.ioUSethefo1.1.owinginformationtoanswerthequestionbe1.ow.Supposea1.1.possib1.einvestmentopportunitiesinthewor1.dare1.imitedtothefourstocks1
7、istinthetabicbe1.ow:StockPriceperShareNunberofSharesOutstanding(Mi1.1.ions)TaggartTranscontinenta1.$15.6025ReardenMeta1.$13.OO45WyattOi1.$29.2510Nie1.sonMotors$26.25261) TheweightonTaggartTranscontinenta1.stockinthemarketportfo1.ioisc1.osestto:5%0%5%0%1223JJZ)/1BCDAnswer:BExp1.anation:B)Ca1.cu1.ati
8、onsBXCD/1950StockPriceperShareNumberofSharesOutstanding(Mi1.1.ions)MarketCapWeightTaggartTranscontinenta1.$15.6025$390.000.2ReardenMeta1.S13.0045$585.000.3Wyat1.Oi1.S29.2510S292.500.15Nie1.sonMotors$26.2526$682.500.35Tota1.$1950.00Diff:1Section:12.2TheMarketPortfo1.ioSki1.1.:Ana1.ytica1.2) Theweight
9、onWyattOi1stockinthemarketportfo1.ioisc1.osestto：A) 15%B) 20%C) 25%D) 30%Answer:AExp1.anation:A)Ca1.cu1.ationsBC1)/1950StockPriceperShareNumberofSharesOutstanding0ii1.1.i37=actua1.return-expectedreturnforCAPM=5.5$-3%+.8375(6%-3%)=-.0125%Diff:3Section:12.3BetaEstimationSki1.1.:Ana1.ytica1.9) Usingjus
10、tthereturndatafor2009,yourestimateofWyattOisBetaisc1.osestto:A) 0.84B) 0.87C) 1.OOD) 1.16Answer:BExp1.anation:B)YearRisk-freeReturnMarketReturnWyattOi1.ReturnMarketExcessReturnWyattOi1.ExcessReturn20073.0%6.0%5.5%3.0%2.5%20081.5%-38.5%-32.6%-40.0%-34.1%20091.0%22.5%19.6%21.5%18.6%Average1.83%-3.33%-
11、2.50%-5.17%-4.33%_EeRetUmWo_1R6%_ocs-,S0=ExccssRctumM=211%=-861Diff：2Section:12.3BetaEstimationSki11:.Ana1.ytica1.10) Usingjustthereturndatafor2008,yourestimateofWyatt0isBetaisc1.osestto:A) 0.85B) 0.87C) 1.00D) 1.17Answer:AExp1.anation:A)YearRisk-freeReturnMarketReturnWyattOi1.ReturnMarketExcessRetu
12、rnWyattOi1.ExcessReturn20073.0%6.0%5.5%3.0%2.5%20081.5%-38.5%-32.6%-40.0%-34.1%20091.0%22.5%19.6%21.5%18.6%Average1.83%-3.33%-2.50%-5.17%-4.33%Retumwo%网。=ExcessRctumM=-8525Diff:2Section:12.3BetaEstimationSki11:Ana1.ytica1.11) Whichofthefo1.1.owingstatementsisFA1.SE?A) Betaistheexpectedpercentchangei
13、ntheexcessreturnofthesecurityfora1%changeintheexcessreturnofthemarketportfo1.io.B) Betarepresentstheamountbywhichrisksthataffecttheovcra1.1marketareamp1.ifiedforagivenstockorinvestment.C) Itiscommonpracticetoestimatebetabasedonthehistorica1.corre1.ationandvo1.ati1.ities.D) Betameasuresthediversifiab
14、1.eriskofasecurity,asopposedtoitsmarketrisk,andistheappropriatemeasureoftheriskofasecurityforaninvestorho1.dingthemarketportfo1.io.Answer:I)Exp1.anation:D)Betameasuresthenondiversifiab1.eriskofasecurity.Diff:1Section:12.3BetaEstimationSki1.1.:Conceptua1.12) Whichofthefo1.1.owingstatementsisFA1.SE?A)
15、 Onedifficu1.tywhentryingtoestimatebetaforasecurityisthatbetadependsonthecorre1.ationandvo1.ati1.itiesofthesecurity1sandmarketsreturnsinthefuture.B) Itiscommonpracticetoestimatebetabasedontheexpectationsoffuturecorre1.ationsandvo1.atiIitics.C) Onedifficu1.tywhentryingtoestimatebetaforasecurityisthat
16、betadependsoninvestorsexpectationsofthecorre1.ationandvo1.ati1.itiesofthesecuritysandmarket*sreturns.D) Securitiesthattendtomove1.essthanthemarkethavebetasbe1.ow1.Answer:BExp1.anation:B)Betaismeasuredusingpastinformation.Diff:1Section:12.3BetaEstimationSki1.1.:Conceptua1.13) Whichofthefo1.1.owingsta
17、tementsisE1.SE?)SecuritiesthattendtomovemorethanthemarkethavebetashigherthanO.B) Securitieswhosereturnstendtomoveintandemwiththemarketonaveragehaveabetaof1.C) Betacorrespondstothes1.opeofthebestfitting1ineinthep1.otofthesecuritiesexcessreturnsversusthemarketexcessreturn.D) Thestatistica1.techniqueth
18、atidentifiesthebets-fitting1.inethroughasetofpointsisca1.1.ed1.inearregression.Answer:Diff:2Section:12.3BetaEstimationSki11:Conceptua1.Usetheequationforthequestion(三)be1.ow.Considerthefo1.1.owing1.inearregressionmode1.:Ri-r)=ai+bi(Rkt-+ej14) ThebjintheregressionA) measuresthesensitivityofthesecurity
19、tomarketrisk.B) measuresthehistorica1.performanceofthesecurityre1.ativetotheexpectedreturnpredictedbytheSM1.C) measuresthedeviationfromthebestfitting1ineandisZeroonaverage.D) measuresthediversifiab1.eriskinreturns.Answer:ADiff:2Section:12.3BetaEstimationSki1.1.:Conceptua1.15) TheajintheregressionA)
20、measuresthesensitivityofthesecuritytomarketrisk.B) measuresthedeviationfromthebestfitting1ineandiszeroonaverage.C) measuresthediversifiab1.eriskinreturns.D) measuresthehistorica1.performanceofthesecurityre1.ativetotheexpectedreturnpredictedbytheSN1.Answer:I)Diff:2Section:12.3BetaEstimationSki1.1.:Co
21、nceptua1.16) TheejintheregressionA) measuresthemarketriskinreturns.B) measuresthedeviationfromthebestfitting1ineandiszeroonaverage.C) measuresthesensitivityofthesecuritytomarketrisk.D) measuresthehistorica1.performanceofthesecurityre1.ativetotheexpectedreturnpredictedbytheSV1.Answer:BDiff:2Section:1
22、2.3BetaEstimationSki11:Conceptua1.12.4TheDebtCostofCapita1.Usethefo1.1.owinginformationtoanswerthequestion(三)be1.ow.Considerthefo1.1.owinginformationregardingcorporatebonds:RatingAAAAAABBBBBBCCCAverageDefau1.tRate0.0%0.1%0.2%0.5%2.2%5.5%12.2%RecessionDefau1.tRate0.0%1.0%3.0%3.0%8.0%16.0%48.0%Average
23、Beta0.050.050.050.100.170.260.311) WyattOi1hasabondissueOU1.s1.andingwithsevenyearstomaturity,ayie1.dtomaturityof7.0%,andaBBBrating.Thecorrespondingrisk-freerateis3%andthemarketriskpremiumis5%.ssuminganorma1.economy,theexpectedreturnonWyattOisdebtisc1.osestto:S%595*3345s)/)JJBCDAnswer:BExp1.anation:
24、B)rd=r1-f+(rm-rrf)=3%+0.1(5%)=3.5%Diff:1Section:12.4TheDebtCostofCapita1.Ski11:Ana1.ytica1.2) WyattOi1.hasabondissueoutstandingwithsevenyearstomaturity,ayie1.dtomaturityof7.0%,andaBBBrating.Thebondho1.ders,expected1.ossrateintheeventofdefau1.tis70%.Assuminganorma1.economytheexpectedreturnonWyattOi1.
25、sdebtisc1.osestto:A) 3.0%B) 3.5%C) 4.9%D) 6.7%Answer:I)Exp1.anation:D)rd=ytm-prob(defau1.t)1.ossrate=7%-0.4%(70%)=6.72%Diff:2Section:12.4TheDebtCostofCapita1.Ski11:Ana1.ytica1.3) WyattOi1hasabondissueoutstandingwithsevenyearstomaturity,ayie1.dtomaturityof7.0%,andaBBBrating.Thebondho1.dersexpected1.o
26、ssrateintheeventofdefau1.tis70%.Assumingtheeconomyisinrecession,thentheexpectedreturnonWyattOiSdebtisc1.osestto:A)3.5%B) 4.9%C) 5.5%D) 7.0%Answer:BExp1.anation:B)rd=y1.11-prob(defau1.t)1.ossrate=7%-3.0%(70%)=4.9%Diff:2Section:12.4TheDebtCostofCapitaiSki1.1.:.Ana1.ytica1.4) KcardcnMcta1.hasabondissue
27、outstandingwithtenyearstomaturity,ayie1.dtomaturityof8.6%,andaBrating.Thecorrespondingrisk-freerateis3%andthemarketriskpremiumis6%.Assuminganorma1.economy,theexpectedreturnonReardenMeta1.,sdebtisc1.osestto:A) 0.6%B) 1.6%C) 4.6%D) 6.0%Answer:CExp1.anation:C)rd=,rf+(r11-rrf)=3%+0.26(6%)=4.56%Diff:1Sec
28、tion:12.4TheDebtCostofCapita1.Ski11:Ana1.ytica1.5) ReardenMeta1.hasabondissueoutstandingwithtenyearstomaturity,ayie1.dIomaturityof8.6%,andaBrating.Thebondho1.dersexpected1.ossrateintheeventofdefau1.tis50%.Assuminganorma1economytheexpectedreturnonReardenMetasdebtisc1.osestto:A) 0.6%B) 1.6%C) 4.6$D) 6
29、0%Answer:DExp1.anation:D)rd=ytin-prob(defau1.t)1.ossrate=8.6%-5.2%(50%)=6.00%Diff:2Section:12.4TheDebtCostofCapita1.Ski1.1.:.Ana1.ytica1.6) ReardenMeta1.hasabondissueoutstandingwithtenyearstomaturi1.y,ayie1.dtomaturityof8.6%,andaBrating.Thebondho1.dersexpected1.ossrateintheeventofdefau1.tis50%.Assu
30、mingtheeconomyisinrecession,thentheexpectedreturnonRcardcnMctasdebtisc1.osestto:6%6%6%00146jzJ,JJABCDAnswer:Exp1.anation:A)rd=ytm-prob(defau1.t)1.ossrate=8.6%-16.0%(50%)=0.6%Diff:2Section:12.4TheDebtCostofCapita1.Ski1.1.:Ana1.ytica1.7) Nie1.sonMotorsp1.anstoissue10-yearbondsthatitbe1.ieveswi1.1.have
31、anBBBrating.SupposeAAbondswiththesamematurityhavea3.5%yie1.d,ssumethatthemarketriskpremiumis5%andtheexpected1.ossrateintheeventofdefau1.Ionthebondsis60%.Theyie1.dthatthesebondswi1.1.havetopayduringaverageeconomictimesisc1.osestto:A) 3.50%B) 3.75%C) 4.00%D) 5.50%Answer:CExp1.anation:C)Forrd=rrf+(r11-
32、rrf)=rrf+0.05(5%)=3.5%-*rrf=3.25%ForBBBrd=rrf+(rm-rrf)=3.25%+0.10(5%)=3.75%rt=ytm-prob(defau1.t)1.ossra1.e-*3.75%=ytm-0.4%(60%)ytm=3.99%Diff:3Section:12.4TheDebtCostofCapita1.Ski11:.Ana1.ytica1.8)Nic1.sonMotorsp1.anstoissue10-ycarbondsthatitbc1.ieveswi11B) O.17C) 1.00D) 1.68Answer:BExp1.anation:B)Si
33、nceNie1.sonhasaratingofBB,theappropriatedebtbetafromthetab1.eis0.17.Diff:1Section:12.5AProject,sCostofCapita1.Ski1.1.:.Ana1.ytica1.3) YourestimateoftheassetbetaforTaggartTranscontinenta1.isc1.osestto:A) O.42B) O.59C) O.66D) 0.71Answer:CExp1.anation:C)SinceTaggarthasaratingofBBB,theappropriatedebtbet
34、afromthetab1.eisO.10.尸U=+D=瀛X1.1+嘴需000.10=0.6625Diff:2Section:12.5AProjectsCostofCapita1.Ski1.1.:.Ana1.ytica1.4) YourestimateoftheassetbetaforReardenMeta1.isc1.osestto:A)0.42B) 0.59C) 0.66D) 0.71Answer:I)Exp1.anation:D)SinceReardenhasaratingofAAA,theappropriatedebtbetafromthetab1.eis0.05.J=申万E+考尸D=瑞
35、X13+，驾泮0.05=0.709722Diff:2Section:12.5AProject,sCostofCapita1.Ski11:.Ana1.ytica1.5) YourestimateoftheassetbetaforWyattOi1.isc1.osestto:A) 0.59B) 0.66C) 0.71D) 0.90Answer:Exp1.anation:A)SinceWyatthasaratingofA,theappropriatedebtbetafromthetab1.eis0.05.au=e+d=线Diff:2Section:12.5AProjectSki1.1.:Ana1.ytica1.0.9+，怨:泮00.05=0.586842SC
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