High beta 50 stocks
[DOC File]The value beta portrays the volatility of an individual ...
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Beta: A Statistical Analysis of a Stock’s Volatility . With recent economic uncertainty, discussion of the volatility of the stock market is unavoidable. Describing the current market, finance professor at New York University Robert Engle stated, "We have no idea where things are going. That is what high volatility means,” (Merle, 2008).
[DOC File]Problem 1:
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You put half your money in large stocks with a beta of 1.8 and an expected return of 13%. You invest one eighth of your money in a well-diversified portfolio like the S&P 500 index with a beta of 1 and an expected return of 9%, and finally, one eight of your money is invested in risk free T-bills. The expected return on the T-bills is 4%.
[DOC File]Finance 332 - Exam 2
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d. could either increase or decrease depending on the stocks beta. 29. You have a stock with an expected return of 10% and a standard deviation of 15%. What is the probability the stock will have a return greater than 25%? a. 50%. b. 68%. c. 32%. d. 16%. e. 5%. 30. You have a stock with an expected return of 10% and a standard deviation of 15%.
[DOC File]Chapter 1
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McKay should substitute low beta stocks for high beta stocks in order to reduce the overall beta of York’s portfolio. By reducing the overall portfolio beta, McKay will reduce the systematic risk of the portfolio and therefore the portfolio’s volatility relative to the market. ... If n = 50 stocks (i.e., 25 long and 25 short), $40,000 is ...
Chapter 9
Contemporary Casuals, Inc., (CCI) has a beta of 1.15, an expected dividend of $2.30, and an expected dividend growth rate of 5 percent for the foreseeable future. The S&P500 expected return is 18 percent, and the Treasury bill rate is 6 percent.
[DOCX File]Texas Christian University
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The variance of the stock is 50% and the variance of the market is 20%. The current T.Bill rate is 3% (Historically it’s been around 5%). The stock is currently selling for $50, down $4 over the last year, and has paid a dividend of $2 during the last year and expects to pay a dividend of $2.50 over the next year.
[DOC File]Chart of the Week – March 28, 2004 - Brett Steenbarger
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A positive reading means that high volatility stocks are outperforming low volatility issues; a negative reading means that low beta stocks are outperforming high beta ones. Note on the right side of the chart (the most recent market action), how the Oscillator peaked ahead of the market decline and then began its ascent as the market was ...
[DOC File]CHAPTER 5
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This means high-beta stocks experience greater increases in their required returns, while low-beta stocks experience smaller increases in their required returns. Statement a is incorrect. Statement b is correct; stocks with a beta less than 1 increase by less than the increase in the market risk premium, and vice versa.
[DOC File]CHAPTER 8
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Dec 31, 2003 · The company expects earnings and dividends to grow at a rate of 20 percent for the next 4 years, after which time there will be no growth (g = 0) in earnings and dividends. The company’s last dividend was $1.50. MHI’s beta is 1.6, the return on the market is currently 12.75 percent, and the risk-free rate is 4 percent.
[DOC File]SOX to Stocks Ratio: Looking at the Relative Performance ...
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During the previous bull market, however, the SOX/Stocks divergence did not yield subnormal future returns. This fits well with my short-term modeling, in which market bounces in bear trends that are not matched by the high beta stocks tend to offer opportunities for shorting.
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