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Emma0627 · 2023年07月30日

capm 算出来的算是intrinsic value吗？

  1. CFA I
  2. Portfolio

NO.PZ2015121802000042

问题如下：

A stock with beta of 0.5 is selling for $30 and pay $4 dividend at year end, if the price should be $32 at year end. The stock is undervalued or overvalued? Assuming the risk-free rate is 8%, expected market return is 16%.

选项：

A.

The sotck is undervalued, investor should buy it.

B.

The stock is overvalued, investor should short it.

C.

The sotck is fairly valued, investor should buy it.

解释：

A is correct.

Expected return on CAPM = 8 + 0.5(16 - 8) = 12%

Estimated return on stock = (32 - 30 + 4) / 30 = 20%

The estimated return is higher than expected return on CAPM, indicating that the stock is undervalued, investor should buy it.

我的理解是这道题用capm算出来未来估计收益是12%，但实际未来收益20%，可以说32+4的未来价格是被高估的吗？看现值的话是被低估的。

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1 个答案

Kiko_品职助教 · 2023年07月31日

嗨，爱思考的PZer你好：


CAPM算出来的是expected return，合理的预期收益率。但实际上根据市场情况估计出来的是20%，这说明现在收益率远高于他合理的收益率，所以是被低估。32+4这不是未来价格。这俩加一起可不是未来价格啊。未来的价格就是32。4是分红而已。而且我们判断高估低估一般都是问的现在的时间。

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