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胡馨梦 · 2021年06月14日

算出来12%

  1. CFA I
  2. Portfolio

NO.PZ2015121802000042

问题如下：

A stock with beta of 0.5 is selling for $30 and pay $4 dividend at year end, if the price should be $32 at year end. The stock is undervalued or overvalued? Assuming the risk-free rate is 8%, expected market return is 16%.

选项：

A.

The sotck is undervalued, investor should buy it.

B.

The stock is overvalued, investor should short it.

C.

The sotck is fairly valued, investor should buy it.

解释：

A is correct.

Expected return on CAPM = 8 + 0.5(16 - 8) = 12%

Estimated return on stock = (32 - 30 + 4) / 30 = 20%

The estimated return is higher than expected return on CAPM, indicating that the stock is undervalued, investor should buy it.

初始价格30，年末分红4 年末价格32 所以价值应该是36  刚刚开始价格30*1.2=36 价格相等 不是应该选C么
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1 个答案

丹丹_品职答疑助手 · 2021年06月14日

嗨，努力学习的PZer你好：


同学你好，题干的意思是，估计的收益率会高于capm求的说明目前的价格被低估了，应当买入。注意到我们求的的收益率是指的是未来的收益率

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努力的时光都是限量版，加油！

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