NO.PZ2023091901000034
问题如下：
Analyst Bob used the capital asset pricing model to recommend buying and selling stocks. He gathered the following information：
Expected market risk premium 10%
Risk-free rate 4%
Historical beta for company A's stock 2.00
Bob believed that historical beta was not a good predictor of future beta, so he used the following formula to predict beta:
Forecasted beta = 0.50 + 0.50 × historical beta
Bob predicted that the return on company A's stock would be equal to 15%. should derive the following returns required for company A's stock and valuation decisions (undervaluation or overvaluation):
选项：
A.
undervalued
15.4%
B.
undervalued
19%
C.
overvalued
19%
D.
overvalued
15.4%
解释：
The beta for company A's stock is:
beta forecast = 0.50 + 0.50 (historical beta) = 0.50 + 0.50×(2.00) = 1.50
According to The CAPM equation
The CAPM required return for company A's stock is: 0.04 + 1.5(0.10) = 19%
Company A's stock is overvalued because the predicted return is equal to 15%, while the required return is only 19%
为什么不是undervalued? 感觉受到衍生品部分的影响，觉得是undervalued.
