NO.PZ2018103102000007
问题如下：
After obtaining beta, Steve decides to use CAPM to estimate the required return on equity for TMT Industries. The publicly traded peer company that he identified is much larger to TMT Industries by using the Global Industry Classification Standard. Therefore a potential weakness of Steve’s approach to estimating the required return on equity for TMT Industries is that the return estimate:
选项：
A.may overstate potential returns over the long-term.
B.does not consider systematic risk.
C.lacks a size premium.
解释：
C is correct.
考点：Build-up method
解析: C是正确的。TMT行业的规模小于所使用的上市的可比公司，但CAPM模型中不考虑公司规模溢价的调整，而在这种情况下，build-up method可能更合适，因为它除了考虑了股票市场风险溢价，还包括一个或多个由于规模和公司特定风险等因素导致的额外的风险溢价。
老师您好，没有考虑到size的这个非系统性风险，不是说明会高估TMT公司的估值吗？为什么A选项不对呢？
