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reachqi · 2019年10月28日

问一道题:NO.PZ201512300100001305 第5小题

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问题如下图:

    

选项:

A.

B.

C.

解释:


什么时候用expanded CAPM? 请举例,谢谢

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maggie_品职助教 · 2019年10月29日

1、首先要明确CAPM作为单因素模型,它的缺点太明显了,它只适用于大的成熟的上市公司。因此只要不是大的成熟的上市公司,我们就要考虑它所面对的除了系统性风险以外的所有风险,那么有几个风险,我们就要再加上几个风险补偿,这样计算出来的要求回报率才最准确。

2、由此可见,expanded CAPM通常同于上市的小盘股公司,因为贝塔可以回归得到

3、积木法通常用于非上市公司,贝塔=1,不需要回归

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