开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

王一 · 2020年02月23日

问一道题:NO.PZ2020010801000011

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?

1 个答案

品职答疑小助手雍 · 2020年02月24日

同学你好,这里的回归是CAPM已经展开过的E(Rp ) = β E(Rm)-α,直接带数字就行了。

  • 1

    回答
  • 0

    关注
  • 405

    浏览
相关问题

NO.PZ2020010801000011 问题如下 In a CAPM thregresses Wells Fargo on the market, the coefficients on monthly ta are a = 0.1 anb = 1.2. Whis the expecteexcess return on Wells Fargo when the excess return on the market is 3.5%? The expectereturn is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fittevalue from the lineregression when the excess return on the market is 3.5%. 不是说考试时给百分号的直接用百分号前的数字去计算嘛,怎么跟何老师上课讲的不一样,考试最终用什么比较好

2024-08-28 12:35 1 · 回答

NO.PZ2020010801000011 问题如下 In a CAPM thregresses Wells Fargo on the market, the coefficients on monthly ta are a = 0.1 anb = 1.2. Whis the expecteexcess return on Wells Fargo when the excess return on the market is 3.5%? The expectereturn is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fittevalue from the lineregression when the excess return on the market is 3.5%. 这里的market excess return为什么是R(h),不是应该是α吗?

2024-06-12 17:21 1 · 回答

NO.PZ2020010801000011问题如下In a CAPM thregresses Wells Fargo on the market, the coefficients on monthly ta are a = 0.1 anb = 1.2. Whis the expecteexcess return on Wells Fargo when the excess return on the market is 3.5%? The expectereturn is 0.1 + 1.2 * 3.5% = 14.2%. This value is the fittevalue from the lineregression when the market return is 3.5%. 怎么这道题3.5%又要化成小数了呜呜

2022-03-18 10:21 4 · 回答

看了答案还是不懂

2020-02-23 21:34 1 · 回答