ANAL 2022 EX0 4 A 6
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Catégorie :Category: nCreator TI-Nspire
Auteur Author: MALEKATOR
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 2.51 Ko KB
Mis en ligne Uploaded: 16/12/2024 - 23:03:02
Uploadeur Uploader: MALEKATOR (Profil)
Téléchargements Downloads: 2
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4412248
Type : Classeur 3.0.1
Page(s) : 1
Taille Size: 2.51 Ko KB
Mis en ligne Uploaded: 16/12/2024 - 23:03:02
Uploadeur Uploader: MALEKATOR (Profil)
Téléchargements Downloads: 2
Visibilité Visibility: Archive publique
Shortlink : http://ti-pla.net/a4412248
Description
Fichier Nspire généré sur TI-Planet.org.
Compatible OS 3.0 et ultérieurs.
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---------------------------------------------------------------------------------------- EXO4: You intend to build a portfolio invested in the assets X, Y and the Treasury Bill.(- X has an expected return of 9% and a standard deviation of 0.5(- Y has an expected return of 7% and a standard deviation of 0.3(The Treasury Bill provides a return of 3%.(Thirty percent of your wealth will go in the Treasury Bill, the remaining has to be shared between X(and Y, targeting a return of 6.4%(If the correlation between the returns of X and Y is 1.2, what is the standard deviation of your(portfolio?((Solution:(Let us call w the weight invested in X. We can write:(w 9% + (1 0.3 - w) 7% + 0.3 3% = 6.4%(We deduce that w = 0.3 and 0.4 is invested in Y.(The variance of the portfolio is:(0.3² 0.5² + 0.4² 0.3² + 2 0.3 0.4 cov(X,Y)(But cov(X,Y) = 1.2 0.5 0.3(Putting this value in previous formula, we find that the variance of the portfolio = 0.0801 and its(standard deviation is 28.3% --------------------------------------------------------------------------- EXO5:Your firm has a debt-equity ratio of .60. Your cost of equity is 11% and your after-tax cost of debt(is 7%.(a) What will your cost of equity be if the target capital structure becomes a 50/50 mix of debt and(equity assuming that the risk on debt is unchanged? (1 point)(Your answer : cost of equity = 12% D/E=0.6 -> D+E / E =1.6 -> E/E+D=1/1.6=0.625 WACC=0.625(11%)+0.375(7%)=9.5% THE WACC being constant, the change in the capital structure implies that rE satisfies 0.5(rE)+0.5(7%)=9.5%. rE= 6%/0.5%=12%. b) if we consider a change in the risk of debt, does the previous answer over-estimate or(underestimate the true cost of equity? (1 point)(Ï It overestimates it Ï It underestimates it(Brief explanation in one sentence: If there is a change in the risk of debt following the increase(in the D/E ratio (from 0.6 to 1), this change will be positive. As a result, rD would go up, and(rE would be lower than 12%. As a result, the previous answer would overestimate the true(cost of equity. -------------------------------------------------------------------- EXO6:An investment is available that pays a tax-free 7%. The corporate tax rate is 40%. Ignoring risk,(what is the pre-tax return on taxable bonds? rB(1-t)=7% and so rB= 7%/1-0.4=11.67% Made with nCreator - tiplanet.org
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Compatible OS 3.0 et ultérieurs.
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---------------------------------------------------------------------------------------- EXO4: You intend to build a portfolio invested in the assets X, Y and the Treasury Bill.(- X has an expected return of 9% and a standard deviation of 0.5(- Y has an expected return of 7% and a standard deviation of 0.3(The Treasury Bill provides a return of 3%.(Thirty percent of your wealth will go in the Treasury Bill, the remaining has to be shared between X(and Y, targeting a return of 6.4%(If the correlation between the returns of X and Y is 1.2, what is the standard deviation of your(portfolio?((Solution:(Let us call w the weight invested in X. We can write:(w 9% + (1 0.3 - w) 7% + 0.3 3% = 6.4%(We deduce that w = 0.3 and 0.4 is invested in Y.(The variance of the portfolio is:(0.3² 0.5² + 0.4² 0.3² + 2 0.3 0.4 cov(X,Y)(But cov(X,Y) = 1.2 0.5 0.3(Putting this value in previous formula, we find that the variance of the portfolio = 0.0801 and its(standard deviation is 28.3% --------------------------------------------------------------------------- EXO5:Your firm has a debt-equity ratio of .60. Your cost of equity is 11% and your after-tax cost of debt(is 7%.(a) What will your cost of equity be if the target capital structure becomes a 50/50 mix of debt and(equity assuming that the risk on debt is unchanged? (1 point)(Your answer : cost of equity = 12% D/E=0.6 -> D+E / E =1.6 -> E/E+D=1/1.6=0.625 WACC=0.625(11%)+0.375(7%)=9.5% THE WACC being constant, the change in the capital structure implies that rE satisfies 0.5(rE)+0.5(7%)=9.5%. rE= 6%/0.5%=12%. b) if we consider a change in the risk of debt, does the previous answer over-estimate or(underestimate the true cost of equity? (1 point)(Ï It overestimates it Ï It underestimates it(Brief explanation in one sentence: If there is a change in the risk of debt following the increase(in the D/E ratio (from 0.6 to 1), this change will be positive. As a result, rD would go up, and(rE would be lower than 12%. As a result, the previous answer would overestimate the true(cost of equity. -------------------------------------------------------------------- EXO6:An investment is available that pays a tax-free 7%. The corporate tax rate is 40%. Ignoring risk,(what is the pre-tax return on taxable bonds? rB(1-t)=7% and so rB= 7%/1-0.4=11.67% Made with nCreator - tiplanet.org
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