An analyst does research about the capital

问题单项选择题

An analyst does research about the capital asset pricing model and gathers the following information about a security and the market portfolio:

Based on the CAPM, the security's expected return is closest to:（）

A. 9.25%

B. 11.00%

C. 13.00%

答案

参考答案：C

解析：

必要收益率=Risk-free rate+Beta of the security×Market portfolio premium=3%+1.25×8%=13%。题目中已经给出了市场组合溢价，它已经是用市场组合的回报率减去无风险收益率后的值，直接代入计算即可。