问题
单项选择题
An analyst determines that four stocks have the following characteristics:
If the risk-free rate is 4 percent and the expected return on the market is 10 percent, which of the following statements is FALSE()
A. Stock A is overvalued.
B. Stock D is overvalued.
C. Stock B is properly valuced and Stock C is undervalued.
答案
参考答案：B
解析：
Using the CAPM, the required rate of return for each stock is:
E(RA)=4%+0.6×(10%-4%)=7.6%.
5.0%-7.6%=-2.6% overvalued.
E(RB)=4%+1.0×(10%-4%)=10.0%.
10.0%-10.0%=0.0% properly valued.
E(RC)=4%+1.6×(10%-4%)=13.6%.
16.0%-13.6%=2.4% undervalued.
E(RD)=4%+2.0×(10%-4%)=16.0%.
16.0%-16.0%=0.0% properly valued.