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chanson · 2020年12月12日

问一道题:NO.PZ2018070201000096

问题如下:

Which of the following statements is correct?

选项:

A.

The security characteristic line's slope is an asset's beta.

B.

The security characteristic line's slope is an asset's excess return.

C.

The security characteristic line's slope is an asset's risk premium.

解释:

A is correct.

The security characteristic line is a plot of the excess return of the security on the excess return of the market. The slope of SCL is the asset's beta.

请问:根据之前做的习题答案,为什么ecurity characteristic line的斜率是beta,而security market line的斜率是E(RM)-Rf?

1 个答案

丹丹_品职答疑助手 · 2020年12月12日

嗨,努力学习的PZer你好:


同学你好,咱们要注意表达这些公式的横轴和纵轴,security characteristic line的横轴是Excess Market Return 纵轴是Excess Security Return;security market line中纵轴是expected return而横轴是beta


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