NO.PZ2019052001000129
问题如下:
Assume a project has 10% RAROC. The beta of the firm's equity is 1.5, the beta of the firm is 1.3. The expected market return is 8% and risk free rate is 2%. Which of the following about adjusted RAROC is correct?
选项:
A.We should accept the project as the adjusted RAROC is higher than the market risk premium.
B.We should reject the project as the adjusted RAROC is lower than the risk-free rate.
C.The adjusted RAROC is 10%.
D.The adjusted RAROC is 2.2%.
解释:
B is correct.
考点:adjusted RAROC
解析:Adjusted RAROC=10%-1.5(8%-2%)=1%. 因此CD选项错。
Adjusted RAROC应当与无风险利率作比较,1%<2%,因此拒绝该项目。
β of the firm 怎么理解?谢谢