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卓娅 · 2024年05月10日

CAPM

NO.PZ2015121802000041

问题如下:

A stock with beta of 1.5 is selling for $20 and pay $1 dividend at year end, if the price should be $21 at year end. The stock is undervalued or overvalued? Assuming the risk-free rate is 5%, expected market premium is 5%.

选项:

A.

The stock is underpriced, investor should buy it.

B.

The sotck is overvalued, investor should short it.

C.

The sotck is undervalued, investor should short it.

解释:

B is correct.

Expected return on CAPM = 5 + 1.5 * 5= 12.5%

Estimated return on stock = (21 - 20 + 1) / 20 = 10%

The estimated return is less than expected return on CAPM, indicating that the stock is overvalued, investor should short it.

CAPM公式:E(r)=Rf+beta*(Rm-Rf),本题第一个计算为啥是beta1.5乘以5呢,Rm-Rf不是为0么

1 个答案

Kiko_品职助教 · 2024年05月10日

嗨,努力学习的PZer你好:


Rm-Rf=market premium=5%。本题直接给的就是market premium。

Rm是市场组合利率,Rf是无风险利率,Rm-Rf是premium。

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努力的时光都是限量版,加油!

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