An analyst does research about capital ass

问题单项选择题

An analyst does research about capital asset pricing model and gathers the following information:

Estimated rate of return for a stock	12.0%
Expected rate of return for the market risk premium	9.5%
Risk-free rate of retum	3.5%

If the covariance of the returns on the stock with the returns on the market portfolio is equal to the variance of the returns on the market portfolio, the analyst's most appropriate conclusion is that the stock is:（）

A. overvalued.

B. properly valued.

C. undervalued because the required rate of return for the stock is greater than 9.5%.

答案

参考答案：A

解析：

因为股票与市场组合的协方差等于市场组合的方差，所以必要回报=3.5%+1×9.5%=13%＞12%的预期回报，因此股票被高估了。注意，题目中用的是市场风险溢价(market risk premium)，而不是市场回报(market return)，所以公式中不需要再减去无风险收益率。