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cmm231 · 2024年03月17日

CAPM计算

  1. CFA II
  2. Equity

NO.PZ2023123001000013

问题如下：

Schwalke iscurrently valuing LPE, a private furniture manufacturing company based in France. To estimate LPE’s requiredreturn on equity, Schwalke gathers betas from public furniture manufacturing companies, and after makingappropriate adjustments, estimates LPE’s beta at 0.80. He uses an equityrisk premium of 6%, a small-cap stock premium of 2%, a company-specific stock premium of 1.5%, and an industry risk premium of1%. Which amountmost accurately reflects the difference between Schwalke’s estimates of LPE’s required return onequity using the build-up approach versus theexpanded CAPM?

选项：

A.

1.0%(build-up > expanded CAPM)

B.

1.2% (build-up > expanded CAPM)

C.

2.2% (build-up > expanded CAPM)

解释：

C is Correct. The build-upmethod is the sum of the equity risk premium (6%),small-cap stock premium (2%), company-specificpremium (1.5%), and industry risk premium (1%), or 10.5%.

The expanded CAPM reflects the sum of thebeta-adjusted equity risk premium (0.8×6%), the small-cap stock premium (2%), andthe company-specific premium (1.5%), or 8.3%.

这里CAPM是根据什么算的 为什么加这几项 RF 没有找到

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1 个答案

王园圆_品职助教 · 2024年03月18日

同学你好，这就是原版书和讲义给出的定义哦

请看以下讲义截图黄色部分

注意，expanded CAPM和build-up method都需要在Rf的基础上加一些项目进行计算，而本题是比较两者的差异，那Rf在两者相减的时候就直接抵消了， 所以本题不需要知道Rf

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NO.PZ2023123001000013 问题如下 Schwalke iscurrently valuing LPE, a private furniture manufacturing company basein France. To estimate LPE’s requireeturn on equity, Schwalke gathers betfrom public furniture manufacturing companies, anafter makingappropriate austments, estimates LPE’s beta 0.80. He uses equityrisk premium of 6%, a small-cstopremium of 2%, a company-specific stopremium of 1.5%, aninstry risk premium of1%. Whiamountmost accurately reflects the fferenbetween Schwalke’s estimates of LPE’s requirereturn onequity using the builup approaversus theexpanCAPM? A.1.0%(builup expanCAPM) B.1.2% (builup expanCAPM) C.2.2% (builup expanCAPM) C is Correct. The builupmethois the sum of the equity risk premium (6%),small-cstopremium (2%), company-specificpremium (1.5%), aninstry risk premium (1%), or 10.5%.The expanCAPM reflects the sum of thebeta-austeequity risk premium (0.8×6%), the small-cstopremium (2%), anhe company-specific premium (1.5%), or 8.3%. 老师，这个ABC里前面的1.0/2.2 是什么意思？

2024-07-17 16:38 1 · 回答