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FRM一级易错题:An analyst gathered the following data about three stocks

发布时间:2023-07-15

来源:融跃教育

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An analyst gathered the following data about three stocks:

If the risk-free rate is 8 % and the risk-premium on the market is 7%,are Stock A and Stock C undervalued, properly valued, or overvalued, according to the security market line (SML)?

A. (Stock A) Undervalued (Stock C) Undervalued

B. (Stock A) Overvalued (Stock C) Overvalued

C. (Stock A) Undervalued (Stock C) Overvalued

D. (Stock A) Overvalued (Stock C) Undervalued

答案:D

解析:Stock A =8 % + 1.5(7%)=18.5%. Because the estimated return of 15.0% is less than the required return of 18.5%, Stock A is overvalued. Stock C = 8 % + 0.6(7%) =12.2%. Because the estimated return of 14.2% is greater than the required return of 1 2 .2 %. Stock C is undervalued.

关联考点:CAPM模型、SML线

易错点分析:高估或低估针对的是价格,而不是收益率,但收益率和价格是呈负相关关系,收益率越高(相对于CAPM模型算出来的理论要求回报率),说明其折现率越高,对应的价格就越低(相对于CAPM模型算出来的

合理定价的价格水平),即价格被低估,反之,则价格被高估;在本题目中,股票A的实际收益率(estimated return)小于要求回报率(即CAPM模型算出来的回报率),则说明价格较高,则价格被高估,同理,股票C被低估。

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