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李超 Gray · 2020年12月18日

问一道题:NO.PZ2018070201000099

问题如下:

Which of the following statements about the capital asset pricing model is correct?

选项:

A.

An individual asset's expected return's primary determinant is the asset’s beta.

B.

An individual asset's expected return's primary determinant is the market risk premium.

C.

An individual asset's expected return's primary determinant is the asset’s standard deviation.

解释:

A is correct.

Under the CAPM theory, an individual asset's expected return's primary determinant is the asset’s beta, or the degree of correlation between the asset and the market.

老师,有个疑问:beta is the sensitivity of an asset's return to the return on the market index in the market model. 而且在题目的解答中,也明确说beta是敏感度而不是correlation。

但是在选项C里面,说beta是the degree of correlation between the asset and the market。请问两个叙述之间没有矛盾吗?

1 个答案

丹丹_品职答疑助手 · 2020年12月18日

嗨,爱思考的PZer你好:


同学你好,两者没有矛盾,利用beta的展开公式可以理解,参见讲义51页


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