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曲轩宏 · 2023年10月28日

所以想问一下，capm求出的价格不是合理价格么？不存在价格会回归capm这个价格的逻辑嘛，谢谢老师

  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.

老师帮忙看一下嗷，这个逻辑我没太理清楚，但我已经记住正确答案了

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Kiko_品职助教 · 2023年10月29日

嗨，努力学习的PZer你好：


是的，CAPM求出来的是合理收益率水平下的价格，价格最终也会回归价值的，但是这有个过程，在这期间，我们就可以进行套利。例如这道题，CAPM求出来的合理收益率是12%，而根据市场条件预估出来的收益率是20%，比12%更高，所以代表股票现在是被低估的，应该买入。

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