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凡尘白骑士 · 2020年01月30日

问一道题:NO.PZ2018070201000100

问题如下:

According to CAPM, when the beta for an asset is negative, which of the following is most correct?

选项:

A.

the expected return of an asset is less than the risk-free rate

B.

the expected return of an asset equals to the risk-free rate

C.

the expected return of an asset is higher than the risk-free rate

解释:

A is correct.

When asset's beta is negative, an expected return for an asset is less than the risk-free rate in the CAPM,

请问老师,什么情况下,会出现负贝塔的这种情况?

1 个答案

星星_品职助教 · 2020年02月03日

同学你好,

负贝塔是一个理论上存在的情况。一般会通过做空而不是买入一只股票来获得“负贝塔”这种效果。对于这道题而言,直接通过CAPM的公式解题即可。