#2
a. 베타 = 1
The beta of the market portfolio itself is always 1 by definition.
b. Decrease
Empricial SML’s slope is flatter than the theoretical SML -> lower expected return in
reality
But If you us the theoretical SML to calculate the cost of equity, you are overestimating
the discount rate for the future cash flow. So the stock price will decrease
#3
(a) g = 2%, r = 5%
102,000,000
(b) 312,000,000
=> how large: 306%
(c) 624,000,000
=> 612%
#4
(a) value fund
B/M = r_value - r_glamour
thus positive and significant B/M factor coestimate suggests a value stock
(b)
comparing the two funds
1. market index: fund a has bigger coefficient
- statistically significant
2. size factor: fund a has a positive SMB coefficient, and fund b has negative SMB
factor so we might conclude that fund b is more tilted toward larger stocks
- but this result is not statistically significant.
#5 False
It increases the risk by variance of e
So the denominator in the optimal stock weight changes by a(var + var_e)
With lower w*, the demand for the stock decreases since there are only two assets in an
economy. To attract enough demand, expected return must go up
So the equity premium increases
#6
순자산과 자산을 혼동한 개념이다. 삼성생명이 보유한 주식의 가치는 자산으로,
여기에 부채를 차감하여야 NAV 가 도출된다. NAV 와 시총이 다르다면 차익거래가
이루어지지 않고 있는 증거로 볼 수 있지만, 해당 발문에서는 부채의 크기에 대한
언급이 없으므로 이정도의 설명으로는 차익거래 제한에 대한 증거로 활용될 수
없다.