8.

You have observed the following returns over time:

YEAR

STOCK X

STOCK Y

MARKET

1997

14%

13%

12%

1998

19

10

1999

-16

-5

-12

2000

2001

20

11

15

Assume that the risk-free rate is 6 percent and the market risk premium is 5 percent.
a) What are the betas of Stocks X and Y?
b) What are the required rates of return for Stocks X and Y?
c) What is the required rate of return for a portfolio consisting of 80 percent of Stock
X and 20 percent of Stock Y?
d) If Stock Xs expected return is 22 percent, is Stock X under- or overvalued?

JAWAB :
a. Stock X
1997 = (R-Rf) / ( Rm-Rf)
= (14-6) / (12-6)
= 8/6 = 1,33%

1998 = (R-Rf) / ( Rm-Rf)

= ( 19-6) / (10-6)
= 13 / 4 = 3,25%

1999 = (R-Rf) / ( Rm-Rf)

= (-16-6) / (-12-6)
= -22/-18 = 1,2%

2000 = (R-Rf) / ( Rm-Rf)

= (3-6)/(1-6)
= -3/-5 = 0,6%

2001 = (R-Rf) / ( Rm-Rf)

=(20-6) / (15-6)
= 14/9 = 1,55%

Stock Y
1997 = (R-Rf) / ( Rm-Rf)
= ( 13-6 ) / ( (12-6)
= 7 / 6 = 1,16%

1998 = (R-Rf) / ( Rm-Rf)

= (7-6) / (10-6)
= 1 / 4 = 0,25%

1999 = (R-Rf) / ( Rm-Rf)

= (-5-6) / (-12-6)
= -11/ -18 = 0,611%

2000 = (R-Rf) / (Rm-Rf)

= ( 1-6) / (1-6)
= -5/-5 = 1%

2001 = (R-Rf) / ( Rm-Rf)

= (11-6) / (15-6)
= 5/9 = 0,55%

b. Stock X
Return of stock = + stock . R market
= 14 + (1,33 x 5)
= 20,65% atau 0.21

Return of stock = + stock . R market

= 19 + (3,25x5)
= 35,25% atau 0.35

Return of stock = + stock . R market

= -16 +( 1,2 x 5)
= -10% atau -0.1

Return of stock = + stock . R market

= 3 + ( 0,6x5)
= 6% atau 0.06

Return of stock = + stock . R market

= 20 + ( 1,55x5)
= 27,75% atau 0.28

Stock Y

Return of stock = + stock . R market

= 13 + (1,16 x 5)
= 18,8 % atau 0.188

Return of stock = + stock . R market

= 7 + ( 0,25 x 5)
=8,25 % atau 0.0825

Return of stock = + stock . R market

= -5 + (0,611 x 5 ) = -1,945 % atau -19.45

Return of stock = + stock . R market

= 1 + (1 x 5) = 6 % atau 0.06

Return of stock = + stock . R market

= 11 + ( 0,55 x 5) = 13,75 % atau 0.1375
(*ket : untuk return of stock silahkan mau pilih dalam bentuk persen atau
decimal )

c. 80% (0,8) stock X

14% x 0,8 = 0,112

19% x 0,8 = 0,152
-16% x 0,8 = -0,128
3% x 0,8 = 0,024
20% x 0,8 = 0,16
0,32

20% (0,2) stock Y

13% x 0,2 = 0,026

7% x 0,2 = 0,014
-5% x 0,2 = -0,01
1% x 0,2 =0,002
11% x 0,2 = 0,022
0,054

d. Jika Stock X 22 persen ,maka overvalued