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六姑娘 · 2023年08月03日

按照讲义,12%小于15%,不应该是高估吗?

NO.PZ2023021601000029

问题如下:

The following table shows data for the stock of JKU and a market index.


Based on the capital asset pricing model (CAPM), JKU is most likely: (2016

选项:

A.overvalued. B.fairly valued. C.undervalued.

解释:

βJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 and E(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The required rate of return of JKU is 12%, and the expected return of JKU is 15%. Therefore, JKU is undervalued relative to the security market line (SML); the risk–return relationship lies above the SML.



luckygrace · 2024年04月26日

题目里expected return15%. CAPM 12%,这不刚好是第二种情况吗?

2 个答案

Kiko_品职助教 · 2024年04月27日

嗨,努力学习的PZer你好:


expected return of JKU这是市场上预估出来的收益率,market estimated return。

CAPM算出来的收益率,才是expected return from the SML。

是第一种情况。

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Kiko_品职助教 · 2023年08月03日

嗨,爱思考的PZer你好:


市场预估15%,而通过CAPM计算出来的合理收益率是12%,这不是讲义里面说的第一种情况吗。

market estimated return并不是指这道题里面的return of market index,我们比较的是 JKU这只股票的市场预估收益率和合理预期收益率,这样才能判断高估低估。

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NO.PZ2023021601000029问题如下 The following table shows ta for the stoof JKU ana market inx.Basen the capitasset pricing mol (CAPM), JKU is most likely: (2016 A.overvalueB.fairly valueC.unrvalueβJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 anE(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The requirerate of return of JKU is 12%, anthe expectereturn of JKU is 15%. Therefore, JKU is unrvaluerelative to the security market line (SML); the risk–return relationship lies above the SML.请问答案的unrvalue指代对象是谁呢?是CAPM模型低估了股票收益率,还是市场表现出来的价格低估了股票真实收益?

2024-04-26 20:32 2 · 回答

NO.PZ2023021601000029 问题如下 The following table shows ta for the stoof JKU ana market inx.Basen the capitasset pricing mol (CAPM), JKU is most likely: (2016 A.overvalue B.fairly value C.unrvalue βJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 anE(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The requirerate of return of JKU is 12%, anthe expectereturn of JKU is 15%. Therefore, JKU is unrvaluerelative to the security market line (SML); the risk–return relationship lies above the SML. 市场预估收益率高于合理收益率为什么不是高估?

2024-04-03 18:59 1 · 回答

NO.PZ2023021601000029问题如下 The following table shows ta for the stoof JKU ana market inx.Basen the capitasset pricing mol (CAPM), JKU is most likely: (2016 A.overvalueB.fairly valueC.unrvalueβJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 anE(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The requirerate of return of JKU is 12%, anthe expectereturn of JKU is 15%. Therefore, JKU is unrvaluerelative to the security market line (SML); the risk–return relationship lies above the SML.可以理解为 return越高 价格越低 所以 unrvalue 吗

2024-01-24 08:48 1 · 回答