题目
Patricia Franklin makes buy and sell stock recommendations using the capital asset pricing model. Franklin has derived the following information for the broad market and for the stock of the CostSave Company (CS):「huixue_img/importSubject/1564170578993221632.png」Franklin believes that historical betas do not provide good forecasts of future beta, and therefore uses the following formula to forecast beta:forecasted beta = 0.80＋0.20×historical betaAfter conducting a thorough examination of market trends and the CS financial statements, Franklin predicts that the CS return will equal 10%. Franklin should derive the following required return for CS along with the following valuation decision (undervalued or overvalued):
选项
A.Valuation CAPM required return\novervalued8.3%
B.overvalued 13.8%
C.undervalued 8.3%
D.undervalued 13.8%
答案
B
解析
「huixue_img/importSubject/1564170579156799488.png」根据CAPM公式: 富兰克林预测CostSave的beta如下:beta forecast = 0.80 ＋0.20 × historical beta = 0.80 ＋0.20 × 1.50 = 1.10 CAPM 对于CostSave公司要求的收益率是:0.05＋ 1.1× (0.08) = 13.8% 注意市场溢价,E(RM) - RF是8%.富兰克林应该确定股票被高估，因为她预测CostSave的回报将仅等于10％，而所需的回报（最低可接受的回报）为13.8％。