Marcello Johanes

01011180168
Chap 8
2.A Unlevered Beta = 0.95 / (1 + (1- 0.36) (1700/1500)) = 0.55
B Financial risk = 0.95-055=0.40
Business risk = unlevered beta =0.55
4. A expected return
=risk free rate+beta*(market risk premium+default spread)
=1.15*(12%+2.5%)+11.5%
=28.1750%
B Beta ini mengukur risiko relatif terhadap indeks Malaysia. Untuk investor internasional, lebih
beta yang sesuai mungkin yang diperkirakan relatif terhadap indeks global
6. Unlevered Beta = Beta/(1+(1- tax rate) (debt/Equity))
=1.20 / (1 + (1-0.4) (50/100)) = 0.9230
New Beta = unlevered beta (1 + (1-tax rate) *Debt/equity ratio
=0.923 (1 + (1-0.4) (8)) = 5.35
8. A Beta for Hewlett Packard = 1.10 (2/8) + 1.50 (2/8) + 2.00 (1/8) + 1.00 (3/8) = 1.275
This beta may not be equal to the regression estimate of beta, because both of these are
estimated with error
B. Cost of Equity = 7.5% + 1.275 (5.5%) = 14.51%
Mainframes Cost of Equity = 7.5% + 1.10 (5.5%) = 13.55%
Personal Computers Cost of Equity = 7.5% + 1.5(5.5%) = 15.75%
Software Cost of Equity = 7.5% + 2 (5.5%) = 18.50%
Printer Division's Cost of Equity = 7.5% + 1 (5.5%) = 13.00%
To value the printer division, I would use a 13.00% cost of equity.
C Division Beta Unlevered Beta Value of Equity Debt Firm Value
Mainframes 1,10 1,019 2,00 0,25 2,25
PCs 1,50 1,389 2,00 0,25 2,25
Sofware 2,00 1,852 1,00 0,125 1,13
Printers 1,00 0,926 3,00 0,375 3,38
Unlevered Beta = 1.389 (2.25/6.75) + 1.852 (1.125/6.75) + 0.926 (3.375/6.75) = 1.235
New Debt/Equity Ratio = 1/5.75
New Levered Beta = 1.235 (1 + (1-.36) (1/5.75)) = 1.37
10. Layanan estimasi beta menyesuaikan beta terhadap satu. Ada kemungkinan bahwa penyesuaian ini
adalah alasan untuk perbedaan antara beta regresi (1,60) dan beta yang dilaporkan sebesar 1,45.
12 a. Regression Results
Returns on AD = 0.047 + 0.60 ( NYSE)
The intercept is 4.7%; the beta is 0.60.
b. Expected Return over next year = 6% + 0.60 (8.5%) = 11.10%
c. Intercept = 4.70%
Riskfree Rate (1-Beta) = 6% (1-0.60) = 2.40%
Intercept - Riskfree Rate (1-Beta) = 4.7% - 2.4% = 2.30%
On an annual basis, the stock did 2.3% better than expected.
D . Jika Anda adalah investor yang tidak terdiversifikasi, Anda akan menghadapi semua risiko di AD;
ini bisa jadi diukur dalam hal deviasi standar dalam pengembalian AD (9,08%). R-squared dari regresi
ini adalah 45%; ini menunjukkan bahwa 55% adalah risiko yang dapat didiversifikasi.
E.. Beta for divested division = 2 (0.60) = 1.20
1.20 (.2) + X (0.8) = 0.6
Solve for X,
X = 0.36/.8 = 0.45
This is the beta after the divestiture, assuming that the cash is paid out and that the leverage is
unaffected.
14. a. R squared = 𝛽2*𝜎 M2/ 𝜎i2
Beta2 = (0.36*0.67)/0.12 = 2.01
Beta = 1.42
b. Jensen's alpha = Intercept - Riskfree Rate (1-Beta)
-0.39% = Intercept - 0.39% (1-1.42)
Monthly Riskfree Rate = (1.0484)1/12 - 1 = 0.39%
Solving for the intercept,
Intercept = -0.39% + 4,84% (1-1.42) = -2,41%
C Kedua perusahaan mungkin tidak memiliki beta yang sama, karena mereka mungkin memiliki total
yang berbeda Variance