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QE_erica · 2022年07月31日

β代表系统性风险

NO.PZ2015122801000064

问题如下:

Chloe wants to use the dividend discount model and the CAPM to value stocks. Which of the following is most likely to decrease the estimated value of a stock if all other factors keep constant?

选项:

A.

An increase in the expected growth rate of dividends.

B.

An increase in the expected dividend.

C.

An increase in the stock's systematic risk.

解释:

C is correct.

Other things equal, using the CAPM, an increase in the stock's systematic risk would increase the required return on equity and decrease the present value of the value of the stock. Value of stock = D1/ (r - g).

C是正确的。

本题考察的是两个公式的运用:红利折现模型:V = D1/(r – g), 资本资产定价模型: r = rf + β*(rm – rf)

A选项,红利增长率g上升,由公式1可得股票价值上升。A错

B选项,红利D1增长,由公式1得股票价值也上升。B错。

C选项,系统性风险上升,代表公式2中β上升,则r上升。公式1和2一起可得,股票价值下降。C正确。

r = rf + β*(rm – rf)

β代表系统性风险 是老师是在哪里有提到,是讲义的哪里呢

1 个答案
已采纳答案

王园圆_品职助教 · 2022年07月31日

嗨,从没放弃的小努力你好:


同学你好,具体β代表系统性风险的相关推导和解释,是属于portfolio这门课程的重点内容,而不是equity的内容哦~同学具体知识点的回忆可以去portfolio中找一下

我这里把equity中提及CAPM公式的讲义截图放在下面给你参考(黄色星星)

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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NO.PZ2015122801000064问题如下Chloe wants to use the vinscount mol anthe CAPM to value stocks. Whiof the following is most likely to crease the estimatevalue of a stoif all other factors keep constant? A.increase in the expectegrowth rate of vin. B.increase in the expectevin C.increase in the stock's systematic risk. C is correct.Other things equal, using the CAPM, increase in the stock's systematic risk woulincrease the requirereturn on equity ancrease the present value of the value of the stock. Value of sto= / (r - g).C是正确的。本题考察的是两个公式的运用红利折现模型V = /(r – g), 资本资产定价模型 r = rf + β*(rm – rf)A,红利增长率g上升,由公式1可得股票价值上升。A错B,红利增长,由公式1得股票价值也上升。B错。C,系统性风险上升,代表公式2中β上升,则r上升。公式1和2一起可得,股票价值下降。C正确。 这题解析中用的是GGM模型的公式r-g,但题目中说的是M模型(GGM只是M中的一种),我理解应该用M的模型来想这道题,A被排除的原因是M模型中不涉及g,因为没有假设照g的速度增长(仅GGM有这种假设)。您看这么想是否正确?

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NO.PZ2015122801000064 来源: 品职出题 Chloe wants to use the vinscount mol anthe CAPM to value stocks. Whiof the following is most likely to crease the estimatevalue of a stoif all other factors keep constant? 正确答案是: C A increase in the expectegrowth rate of vin. B 不正确increase in the expectevin C increase in the stock's systematic risk. 数据统计(全部) 做对次数: 2859 做错次数: 1112 正确率: 72.00% 数据统计(个人) 做对次数: 0 做错次数: 1 正确率: 0.00% 解析 C is correct. Other things equal, using the CAPM, increase in the stock's systematic risk woulincrease the requirereturn on equity ancrease the present value of the value of the stock. Value of stock = / (r - g).

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