问题如下:
In a CAPM that regresses Wells Fargo on the market, the coefficients on monthly data are a = 0.1 and b = 1.2. What is the expected excess return on Wells Fargo when the excess return on the market is 3.5%?
选项:
解释:
The expected return is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fitted value from the linear regression when the market return is 3.5%.
根据CAPM模型:E(Rp )- Rf = β [E(Rm)-Rf ] 得出E(Rp )-0.1=1.2*(3.5%-0.1) 为啥答案没有减去0.1呢?