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