Name: Brenda Rianita Hapsari

NIM: 12030119130222
Class: B - Pasar Modal dan Pasar Uang

Problem 9-4

Datas: Stock Beta E(Ri)

1 0.9 12 E(Rm) = 12%
2 1.3 13 RF = 8%
3 0.5 11
4 1.1 12.5
5 1 12
Answer
9-4 a Calculate the required return for each stock

Formula
Ki = RF + ßi * [E(Rm) – RF]

Ki = RF + ßi * [E(Rm) – RF]

= 0,08 + ßi ( 0,12 - 0,08 )
= 0,08 + 0,04 ßi

Stock Ki (%)
1 11.6%
2 13.2%
3 10.0%
4 12.4%
5 12.0%

9-4 b Undervalued Overvalued

estimated return > required return Estimated return<required return

Stock Ki (%) E(Ri) Statement

1 11.6% 12 Undervalued
2 13.2% 13 Overvalued
3 10.0% 11 Undervalued
4 12.4% 12.5 Undervalued
5 12.0% 12 Fairvalued

9-4 c Market's risk premium is the difference between the expected return for equities market and RF
[E(Rm) – RF] = 0,04
Problem 9-5

Datas:
RF 7%
E(Rm) 13%
The security market line is
E(Ri) = 7,0 + 6,0ß

Corporations ßi Ri (%)
GF 0.8 12
PepsiCo 0.9 13
IBM 1 14
NCNB 1.2 11
EG&G 1.2 21
EAL 1.5 10

Answer

Formula
Ki = RF + ßi * [E(Rm) – RF]

Calculating the expected return of each corporation using the SML and
evaluate which securities are overvalued and which are undervalued

Corporations Ki Ri (%) Statement

GF 11.8% 12 Undervalued
PepsiCo 12.4% 13 Undervalued
IBM 13.0% 14 Undervalued
NCNB 14.2% 11 Overvalued
EG&G 14.2% 21 Undervalued
EAL 16.0% 10 Overvalued