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Suechen · 2020年07月11日

问一道题：NO.PZ2015121802000042 [ CFA I ]

  1. CFA I
  2. Portfolio

问题如下：

A stock with beta of 0.5 is selling for $30 and pay $4 dividend at year end, if the price should be $32 at year end. The stock is undervalued or overvalued? Assuming the risk-free rate is 8%, expected market return is 16%.

选项：

A.

The sotck is undervalued, investor should buy it.

B.

The stock is overvalued, investor should short it.

C.

The sotck is fairly valued, investor should buy it.

解释：

A is correct.

Expected return on CAPM = 8 + 0.5(16 - 8) = 12%

Estimated return on stock = (32 - 30 + 4) / 30 = 20%

The estimated return is higher than expected return on CAPM, indicating that the stock is undervalued, investor should buy it.

回报高，价格低，被低估，这个逻辑始终转不过来
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1 个答案

丹丹_品职答疑助手 · 2020年07月13日

嗨，从没放弃的小努力你好：


同学你好，结合一级固定收益的只是，收益率和价格呈反向关系，如果根据模型算出来的收益高于实际收益，收益率被低估，其价格被高估。反之，收益率被高估，价格被低估。请知悉


-------------------------------
努力的时光都是限量版，加油！


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