问题如下图:
选项:
A.
B.
C.
解释:
关于这个知识点的一个问题,高于SML为低估股票。这个低估价位点所在位置是25刀还是30刀呢?
NO.PZ2015121802000041 问题如下 A stowith beta of 1.5 is selling for $20 anp$1 vinyeen if the prishoul$21 yeen The stois unrvalueor overvalue Assuming the risk-free rate is 5%, expectemarket premium is 5%. A.The stois unrvalue investor shoulbuy it. B.The sotis overvalue investor shoulshort it. C.The sotis unrvalue investor shoulshort it. B is correct.Expectereturn on CAPM = 5 + 1.5 * 5= 12.5%Estimatereturn on sto= (21 - 20 + 1) / 20 = 10%The estimatereturn is less thexpectereturn on CAPM, incating ththe stois overvalue investor shoulshort it. 麻烦具体讲一下这中间的分析过程
NO.PZ2015121802000041 问题如下 A stowith beta of 1.5 is selling for $20 anp$1 vinyeen if the prishoul$21 yeen The stois unrvalueor overvalue Assuming the risk-free rate is 5%, expectemarket premium is 5%. A.The stois unrprice investor shoulbuy it. B.The sotis overvalue investor shoulshort it. C.The sotis unrvalue investor shoulshort it. B is correct.Expectereturn on CAPM = 5 + 1.5 * 5= 12.5%Estimatereturn on sto= (21 - 20 + 1) / 20 = 10%The estimatereturn is less thexpectereturn on CAPM, incating ththe stois overvalue investor shoulshort 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
NO.PZ2015121802000041 问题如下 A stowith beta of 1.5 is selling for $20 anp$1 vinyeen if the prishoul$21 yeen The stois unrvalueor overvalue Assuming the risk-free rate is 5%, expectemarket premium is 5%. A.The stois unrprice investor shoulbuy it. B.The sotis overvalue investor shoulshort it. C.The sotis unrvalue investor shoulshort it. B is correct.Expectereturn on CAPM = 5 + 1.5 * 5= 12.5%Estimatereturn on sto= (21 - 20 + 1) / 20 = 10%The estimatereturn is less thexpectereturn on CAPM, incating ththe stois overvalue investor shoulshort it. 想问下题目第一句里说的 “A stowith beta of 1.5 is selling for $20”,指的是0时刻的价格是20对吗?
NO.PZ2015121802000041 问题如下 A stowith beta of 1.5 is selling for $20 anp$1 vinyeen if the prishoul$21 yeen The stois unrvalueor overvalue Assuming the risk-free rate is 5%, expectemarket premium is 5%. A.The stois unrprice investor shoulbuy it. B.The sotis overvalue investor shoulshort it. C.The sotis unrvalue investor shoulshort it. B is correct.Expectereturn on CAPM = 5 + 1.5 * 5= 12.5%Estimatereturn on sto= (21 - 20 + 1) / 20 = 10%The estimatereturn is less thexpectereturn on CAPM, incating ththe stois overvalue investor shoulshort it. 我之前理解capm模型计算出来的结果是一个预期收益,比如这个数是20%,那代表这支股票预期有20%的收益;但实际上这支股票只上涨了10%, 那么我会认为,该股还有10%的上涨空间,所以应该继续持有(换句话说就是该股股价被低估了)。当然从答案我知道这种理解是错的,那么capm正确的理解和用法是什么呢?
NO.PZ2015121802000041 请问为什么capm收益大于实际收益就是被高估?