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.

计算题
单项选择题