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Cooljas · 2024年05月01日

为什么这个括号里10%不用再减去无风险利率的4%啊?

NO.PZ2023091901000034

问题如下:

Analyst Bob used the capital asset pricing model to recommend buying and selling stocks. He gathered the following information:

Expected market risk premium 10%

Risk-free rate 4%

Historical beta for company A's stock 2.00

Bob believed that historical beta was not a good predictor of future beta, so he used the following formula to predict beta:

Forecasted beta = 0.50 + 0.50 × historical beta

Bob predicted that the return on company A's stock would be equal to 15%. should derive the following returns required for company A's stock and valuation decisions (undervaluation or overvaluation):

选项:

A.

undervalued 15.4%

B.

undervalued 19%

C.

overvalued 19%

D.

overvalued 15.4%

解释:

The beta for company A's stock is:

beta forecast = 0.50 + 0.50 (historical beta) = 0.50 + 0.50×(2.00) = 1.50

According to The CAPM equation

The CAPM required return for company A's stock is: 0.04 + 1.5(0.10) = 19%

Company A's stock is overvalued because the predicted return is equal to 15%, while the required return is only 19%



1 个答案

pzqa39 · 2024年05月01日

嗨,爱思考的PZer你好:


这里我们要注意审题呀,题目给的0.1是market risk premium,本来就是减过rf的,不需要再减了

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