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甜甜圈洞 · 2024年01月24日

可以理解为 return越高 价格越低 所以 undervalue 吗

  1. CFA I
  2. Portfolio

NO.PZ2023021601000029

问题如下：

The following table shows data for the stock of JKU and a market index.


Based on the capital asset pricing model (CAPM), JKU is most likely: (2016

选项：

A.overvalued.

B.fairly valued.

C.undervalued.

解释：

βJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 and E(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The required rate of return of JKU is 12%, and the expected return of JKU is 15%. Therefore, JKU is undervalued relative to the security market line (SML); the risk–return relationship lies above the SML.

可以理解为 return越高 价格越低 所以 undervalue 吗

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1 个答案

Kiko_品职助教 · 2024年01月25日

嗨，努力学习的PZer你好：


是的，你的理解完全正确。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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