CAPM算出來的收益率才是他真正的value是嗎？

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.

所以expected return of JKU是市場上認為他的收益率，CAPM算出來的收益率才是他真正的收益率，對嗎？

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1 个答案

Kiko_品职助教 · 2025年05月26日

嗨，从没放弃的小努力你好：

是的。15%是根据市场情况预估的收益率。根据CAPM算出来的才是他的合理收益率。你的理解是对的。

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AroDing · 2025年05月26日

那可以认为市场情况预估的收益率是他的内在价值，CAPM算出来的是他的价格，所以它被低估了吗？

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