1. BPI is exposed to the ff. risks Foreign exhange rate Debtors' ability to pay Interest rate movement Household consumption level High ratio of older personnel or management during COVID Number of labor force who were layoff during the period The level of exposure of this bank to 3 other systematic factors are 0.50, 0.65, and 0.70 with each factor change data of 5%, 3.5%, and 1.5%, respectively. This is a blue-chip company which is included in the PSEi and a reasonable assessment of its market sensitivity is 1.38. The government on-the-run bond has interest earnings of 3.8% and PSEi return is 7.8% a. With the listed risks, identify the systematic risks from unsystematic risks. b. USing the identified systematic risks calculate the expected return of BPI stock using Arbitrage Pricing Model c. Extract the needed data and calculate beta d. Calculate the CAPM rate of return of the BPI stock. If 10/31/2020 price is P90.00 and the 10/31/2021 price is P97.00. Is it undervalued, overvalued, or fairly valued?
1. BPI is exposed to the ff. risks Foreign exhange rate Debtors' ability to pay Interest rate movement Household consumption level High ratio of older personnel or management during COVID Number of labor force who were layoff during the period The level of exposure of this bank to 3 other systematic factors are 0.50, 0.65, and 0.70 with each factor change data of 5%, 3.5%, and 1.5%, respectively. This is a blue-chip company which is included in the PSEi and a reasonable assessment of its market sensitivity is 1.38. The government on-the-run bond has interest earnings of 3.8% and PSEi return is 7.8% a. With the listed risks, identify the systematic risks from unsystematic risks. b. USing the identified systematic risks calculate the expected return of BPI stock using Arbitrage Pricing Model c. Extract the needed data and calculate beta d. Calculate the CAPM rate of return of the BPI stock. If 10/31/2020 price is P90.00 and the 10/31/2021 price is P97.00. Is it undervalued, overvalued, or fairly valued?
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1. BPI is exposed to the ff. risks
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| Foreign exhange rate | |||||||||
| Debtors' ability to pay | |||||||||
| Interest rate movement | |||||||||
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Household consumption level
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High ratio of older personnel or management during COVID
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Number of labor force who were layoff during the period
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| The level of exposure of this bank to 3 other systematic factors are 0.50, 0.65, and 0.70 with each factor change data of 5%, 3.5%, and 1.5%, respectively. This is a blue-chip company which is included in the PSEi and a reasonable assessment of its market sensitivity is 1.38. The government on-the-run bond has interest earnings of 3.8% and PSEi return is 7.8% | |||||||||
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a. With the listed risks, identify the systematic risks from unsystematic risks.
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b. USing the identified systematic risks calculate the expected return of BPI stock using Arbitrage Pricing Model
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c. Extract the needed data and calculate beta
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d. Calculate the
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