组合

问题如下：

Question Which of the following is least likely an assumption underlying the capital asset pricing model (CAPM)?

选项：

A.Investors analyze securities according to their own future cash flow estimates and probability distributions. B.There are no restrictions on short selling assets. C.The amount invested in an asset can be as much or as little as the investor wants.

解释：

Solution

A is correct. The CAPM requires that there are no restrictions on short selling (which is an assumption underlying frictionless markets) and that the amount invested in an asset can be as much or as little as the investor wants (that is, investments are infinitely divisible). The CAPM also assumes that all investors analyze securities in the same way using the same inputs for future cash flows and the same probability distributions; that is, it assumes that investors have homogenous expectations.

B is incorrect because no restrictions on short selling assets (which is an assumption underlying frictionless markets) is an assumption of the CAPM.

C is incorrect because an investor being able to invest as much or as little in an asset (that is, investments are infinitely divisible) is an assumption of the CAPM.