fi320practice - scenario recc norm boom prob 0.3 0.4 0.3...

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scenario prob R(b) r(s) E(rb) E(rs) Devb recc 0.3 -10 20 -3 6 -20.6 norm 0.4 13 8 5.2 3.2 2.4 boom 0.3 28 -4 8.4 -1.2 17.4 ER 10.6 8 Erx Ery sdx sdy coor rf 8 14 5 12 -0.5 5 wx wy E(rp) Var Std Dev 0 1 14 144 12 0.2 0.8 12.8 83.56 9.1411 0.4 0.6 11.6 41.44 6.4374 0.6 0.4 10.4 17.64 4.2000 0.8 0.2 9.2 12.16 3.4871 1 0 8 25 5 66 Optimal weight x Optimal w y 0.69 0.31 Axis Title 2 4 6 8 10 12 14 16 In
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E(ro) Std dev o 9.8584 3.59144 E(rc)=y*Ero+(y-1)*rf Slope o y*wy 1.35 y*wx APR= rate per period * periods in year 1+EAR=1+(APR+periods in year)^periods in year 3 4 5 0
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Devs Devb sq devs sq Vars Varb DevS*b Cov 12 424.36 144 127.31 43.2 -247.2 -74.16 0 5.76 0 2.3 0 0 0 -12 302.76 144 90.83 43.2 -208.8 -62.64 VAR 220.44 86.4 COV -136.8 STDEV 14.85 9.3 CORR -0.99 B nvestment Opportunity Set Column C
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SDc=y*Sdo 6 7 8 9 10 11 12 13
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scenario p div stock price HPR ER Var boom 0.33  $2.00   $40.00  50.00% 0.17 0.0411 norm 0.33  $1.00   $33.00  21.43% 0.07 0.0014 recc 0.33  $0.50   $20.00  -26.79% -0.09 0.0579 0.1004 stock p 14.88% 1004.0096  $28.00  SD= 31.69
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#17 year period eps growth dps beta cost of k terminal 2006 0 3.95 1.58 rf+beta*mk r prm 2007 1 4.58 1.83 1.25 0.13 2008 2 5.32 2.13 1.25 0.13 2009 3 6.17 2.47 1.25 0.13 2010 4 7.15 2.86 1.25 0.13 2011 5 8.3 16% 3.32 1.25 0.13 2012 6 9.46 16.000% 3.78 1.25 0.13 2013 7 10.59 16.000% 4.24 1.25 0.13 2014 8 11.65 16.000% 4.66 1.25 0.13 1015 9 12.58 16.000% 5.03 1.25 0.13 92.79 2016 10 13.34 6.000% 5.34 1 0.12 npv cf= stable 1-(roe*b)= 0.06 payoiut= 0.4
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cf pv 1.83 $1.62  2.13 $1.66  2.47 $1.70  2.86 $1.75  3.32 $1.79  3.78 $1.83  4.24 $1.85  4.66 $1.74  97.83 $32.24  $50.65  $46.18 
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EPS= 2.02 PERIOD YEAR g eps ni DEPR PAYOUT= 0 0 2006 2.02 14140000 2000000 1 2007 0.14 2.3 16119600 2280000 2 2008 0.14 2.63 18376344 2599200 3 2009 0.14 2.99 ### 2963088 4 2010 0.14 3.41 ### ### 5 2011 0.14 3.89 ### ### 6 2012 0.07
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