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Katherine · 2023年09月07日

不是这题，是一个知识点

  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.

expected return 和estimateed return 有什么区别吗

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1 个答案

Kiko_品职助教 · 2023年09月07日

嗨，努力学习的PZer你好：


expected return是根据CAPM公式计算出来的合理收益率。

estimateed return 是根据市场情况预估出来的收益率。通常会拿这两个作比较来评价股票被高估还是低估。

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