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luckygrace · 2024年04月26日

请问undervalue

  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.


Basedon 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.

请问答案的undervalue指代对象是谁呢？是CAPM模型低估了股票收益率，还是市场表现出来的价格低估了股票真实收益？

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Kiko_品职助教 · 2024年04月27日

嗨，努力学习的PZer你好：


undervalue指的是JKU，题干问的是JKU。对比的标准应该是CAPM计算出来的合理收益率12%，市场预估是15%，所以相对于CAPM的合理收益率的12%来看，市场这个15%收益率被低估了。

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luckygrace · 2024年04月28日

CAPM12% 市场15％ 市场不是被高估吗？

Kiko_品职助教 · 2024年04月28日

嗨，努力学习的PZer你好：


是低估。

可以两种理解方式：

1.CAPM是合理的收益率，但是市场收益率比合理收益率还高，我当然是想要买入，所以是被低估。

2.收益率跟价格是成反比关系（价格等于未来现金流折现求和），收益率越高，价格越低，所以市场收益率越高，表示价格越低，所以是被低估。

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努力的时光都是限量版，加油！

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