题目
「huixue_img/importSubject/1564170575012827136.png」Please note: Two industry classifications: expected excess return is 8.0% for the chemical industry and 6.0% for all other industries. The factor forecasts are (top row): 2.0% for Growth, 2.5% for Bond, -1.5% for Size, and 0.0% for ROE. The CAPM excess market return is 6.0%.
What is the CAPM forecast for Dow?
选项
A.3.80%
B.4.60%
C.6.60%
D.7.40%
答案
C
解析
本题解析如下： 1.1 beta×6.0% ERP = 6.60% excess return