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Olivia.W🌸 · 2024年04月03日

市场预估收益率高于合理收益率为什么不是高估？

  1. CFA I
  2. Portfolio

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.

市场预估收益率高于合理收益率为什么不是高估？

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1 个答案

Kiko_品职助教 · 2024年04月06日

嗨，从没放弃的小努力你好：


市场预估高于通过CAPM计算出来的合理收益率， return越高 价格越低，说明市场预估的价格低于合理价格，所以是低估。

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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.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.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

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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.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.

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