王一 · 2020年02月23日
问题如下：
In a CAPM that regresses Wells Fargo on the market, the coefficients on monthly data are a = 0.1 and b = 1.2. What is the expected excess return on Wells Fargo when the excess return on the market is 3.5%?
选项：
解释：
The expected return is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fitted value from the linear regression when the market return is 3.5%.
根据CAPM模型：E(Rp )- Rf = β [E(Rm)-Rf ] 得出E(Rp )-0.1=1.2*(3.5%-0.1) 为啥答案没有减去0.1呢？
NO.PZ2020010801000011 问题如下 In a CAPM thregresses Wells Fargo on the market, the coefficients on monthly ta are a = 0.1 anb = 1.2. Whis the expecteexcess return on Wells Fargo when the excess return on the market is 3.5%? The expectereturn is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fittevalue from the lineregression when the excess return on the market is 3.5%. 不是说考试时给百分号的直接用百分号前的数字去计算嘛，怎么跟何老师上课讲的不一样，考试最终用什么比较好
NO.PZ2020010801000011 问题如下 In a CAPM thregresses Wells Fargo on the market, the coefficients on monthly ta are a = 0.1 anb = 1.2. Whis the expecteexcess return on Wells Fargo when the excess return on the market is 3.5%? The expectereturn is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fittevalue from the lineregression when the excess return on the market is 3.5%. 这里的market excess return为什么是R(h),不是应该是α吗？
NO.PZ2020010801000011问题如下In a CAPM thregresses Wells Fargo on the market, the coefficients on monthly ta are a = 0.1 anb = 1.2. Whis the expecteexcess return on Wells Fargo when the excess return on the market is 3.5%? The expectereturn is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fittevalue from the lineregression when the market return is 3.5%. 怎么这道题3.5%又要化成小数了呜呜
看了答案还是不懂
