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CFA一定过！ · 2023年10月29日

expected return 为什么不能用PV0=D1/R来算？

  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.

expected return 为什么不能用PV0=D1/R来算？ 折现率的R不是expected return吗 谢谢

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CFA一定过！ · 2023年10月29日

应该是estimated return 为啥不能用那个公式（说错了）

1 个答案

Kiko_品职助教 · 2023年10月30日

嗨，爱思考的PZer你好：


啊？这不是equiy里面的红利折现模型的公式吗。首先学科不同啊，除了数量有些公式会在组合里用到，一般不会跨学科考察的。这个需要注意下。

其次GGM是有假设条件的，而且这个公式是针对优先股的。这道题可没有说任何条件。组合里面直接给了股票价格，又给了收益，直接计算收益率就好了。不用想的那么复杂。

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努力的时光都是限量版，加油！

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