如题

问题如下：

An analyst gathers the following information:

 With respect to the capital asset pricing model, if expected return for Security 2 is equal to 11.4% and the risk-free rate is 3%, the expected return for the market is closest to:

选项：

A.

8.4%.

B.

9.0%.

C.

10.3%.

解释：

B  is correct.

The expected risk premium for Security 2 is 8.4%, (11.4% − 3%), indicates that the expected market risk premium is 6%; therefore, since the risk-free rate is 3% the expected rate of return for the market is 9%. That is, using the CAPM, E(R_i) = R_f +β_i[E(R_m)–R_f], 11.4% = 3% + 1.4(X%), where X% = (11.4% − 3%)/1.4 = 6.0% = market risk premium.