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huangme7 · 2024年04月30日

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NO.PZ202312130100000202

问题如下:

Which statement best explains why the CAPM may be inappropriate for estimating required return on equity for private firms?

选项:

A.

The CAPM was only designed for publicly traded stocks

B.

The CAPM does not utilize a company-specific risk premium.

C.

The CAPM assumes investors are well diversified.

解释:

C is correct. Private company owners are rarely well diversified, as much of their wealth is tied up in their company. CAPM assumes that investors are only exposed to market risk, not the total risk of a company. B is incorrect, as the CAPM includes a company-specific risk component measured by beta multiplied by the equity risk premium. A is incorrect, as the CAPM can measure the expected return of any financial asset, not just traded stocks.

 CAPM assumes that investors are only exposed to market risk, not the total risk of a company.

没有理解这句话意思

1 个答案

王园圆_品职助教 · 2024年04月30日

同学你好,这句话是说,CAPM 模型下,公司的要求回报率Re= Rf+β*(Rm-Rf)——这整个公式,只考虑了公司的系统性风险β,但是没有考虑公司个体的非系统性风险(相关知识点应该在一级的portfolio中也有涉及)

你可以参考以下讲义截图,对比expanded CAPM模型和普通的CAPM,就可以看到expanded CAPM是考虑了公司独特的risk premium的,而一般的CAPM是缺少这一块的

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