问题如下图：
选项：
A. 
B. 
C. 
解释：
老师你好！
1，这个题我觉得B也对呀？为什么答案是C呢？
2，请问estimated return 和expected return有啥区别呀？
3，第三步，CAPM用的Rm 是12% 那是 portfolio的，而不是risky asset的，答案里说 那是expected return on the risky asset, 这里不明白。
谢谢老师！
Shimin_CPA税法主讲、CFA教研 · 2018年09月14日
同学你好
1. B这个选项错在因果，我们判断long/short不是拿portfolio的预测收益与market portfolio比，而是与它的合理收益率比。
2. estimated return是分析师预测的收益率，加入分析师自己的观点，不同分析师对于经济增长好坏发生的概率和期间股票的收益率是不同的。 expected return是合理收益率，在这儿是CAPM算出来的。举个例子，有一个股票A， CAPM算出来的它合理定价时获得的收益率是10%，也就是说我买了这个股票，承担了系统性风险，我的收益补偿应该达到10%。但分析师预测这个股票未来最多涨9%，这就导致我有股票A，承担了一样的风险，但实际给我的补偿不足，该拿到的钱没拿到位，所以要卖。
3. CAPM的公式理解还不到位，E(R)=Rf+beta*(Rm-Rf)。Rm=12%就是market portfolio的收益率。求出的E(R)=13.4%是投资组合的合理收益率 （expected return on the risky asset）
NO.PZ2015121802000054问题如下To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make?A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium.B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio.C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally.C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it.可以一下吗。。。。
NO.PZ2015121802000054问题如下 To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make?A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium.B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio.C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally.C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it.C的意思明白，但是B就是我们为什么选择它的最真实原因啊
NO.PZ2015121802000054 问题如下 To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make? A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium. B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio. C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally. C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it. 对系统性风险的补偿就是CAPM计算出来的预期收益率，那为什么C是expectereturn无法补偿系统性风险，而不是estimatereturn呢
NO.PZ2015121802000054 问题如下 To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make? A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium. B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio. C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally. C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it. 老师，我看了别的解析，不太清楚我这样的理解是否正确11.85%是分析师估计出来的收益率，而CAPM计算的是13.4%，所以估计的收益率比合理计算的收益率低。低收益率就是因为资产的价格高于市场预期？所以实际上就是overvalue需要卖出吗？
NO.PZ2015121802000054问题如下To evaluate the performanof investment, analyst hforecastethe return of assets anmarket portfolio on fferent economic contions anthe probability.Estimation of asset:Estimation of market portfolio:Assuming the risk-free rate is 5%, the risky asset's beta is 1.2, anmarket portfolio is correctly price whiinvestment cision shoulthe analyst make?A.The analyst shoulbuy the risky asset because its expectereturn is higher thits requirereturn in equilibrium.B.The analyst shoulshort the risky asset because its expectereturn is less ththe expectereturn on the market portfolio.C.The analyst shoulshort the risky asset because its expectereturn cnot compensate for its systematic risk totally.C is correct.The estimatereturn of risky asset is 6%*(10%) + 10%*(45%) + 15%*(45%) = 11.85%. The expectereturn of market portfolio is 3%*(10%) + 12%*(45%) + 14%*(0.45) = 12%. Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%. Because the analyst's forecast return on the risky asset is less thits expectereturn rivefrom CAPM, the asset is overvalueanthe analyst shoulsell it.Accorng to the CAPM, the expectereturn on the risky asset is 5% + 1.2*(12% - 5%) = 13.4%.。这里的Rm为12%，是怎么拿到的