题目
Which of the following is strictly true about the standard version of the capital asset pricing model (CAPM)?
选项
A.The security market line (SML) states that the expected return on any security is the riskless rate of interest plus the market price of risk times the amount of risk in the security or portfolio.
B.If CAPM is valid, then the return of a high-beta should be higher than the return of a low- beta stock over the next calendar year, or for that matter, any given calendar year.
C.All other things being equal, the security market line (SML) implies that higher non- systematic (aka, idiosyncratic) risk will produce higher expected returns.
D.While CAPM characterizes equilibrium in terms of rate of return, it cannot be similarly extended to prices.
答案
A
解析
B is false. Invariably, when a group of investors is first exposed to the CAPM, one or more investors will find a high- Beta stock that last year produced a smaller return than low- Beta stocks. The CAPM is an equilibrium relationship. High- Beta stocks are expected to give a higher return than low- Beta stocks because they are more risky. This does not mean that they will give a higher return over all intervals of time. In fact, if they always gave a higher return, they would be less risky, not more risky, than low- Beta stocks. Rather, because they are more risky, they will sometimes produce lower returns. However, over long periods of time, they should on the average produce higher returns.C is false and it is important in the CAPM. One of the greatest insights that comes from this equation arises from what it states is unimportant in determining return. The risk of any stock could be divided into systematic and unsystematic risk. Beta was the index of systematic risk. This equation validates the conclusion that systematic risk is the only important ingredient in determining expected returns and that nonsystematic risk plays no role. In other words, the investor gets rewarded for bearing systematic risk. It is not total variance of returns that affects expected returns, but only that part of the variance in returns that cannot be diversified away. This result has great economic intuition for, if investors can eliminate all nonsystematic risk through diversification, there is no reason they should be rewarded, in terms of higher return, for bearing it. All of these implications of the CAPM are empirically testable.D is obviously false as the it can be extended to prices.B是错误的。当一群投资者首次接触CAPM时，一个或多个投资者会发现高贝塔系数的股票去年产生的收益比低贝塔系数的股票要小。 CAPM是一种平衡关系。高贝塔值的股票比低贝塔值的股票有更高的风险，因此期望得到更高的回报。这并不意味着它们将在所有时间间隔内提供更高的回报。实际上，如果它们总是给出较高的回报，则它们的风险将比低Beta股票低，而不是高。相反，由于它们更具风险性，因此有时它们会产生较低的回报。但是，在很长一段时间内，它们平均应该产生更高的回报。C是错误的，这一点在CAPM中很重要。该方程式得出的最深刻的见解之一来自于它在确定回报率时不重要的内容。任何股票的风险都可以分为系统风险和非系统风险。 Beta是系统风险的指标。该方程式验证了以下结论：系统风险是确定预期收益的唯一重要因素，而非系统风险则不起作用。换句话说，投资者因承担系统性风险而获得回报。不是收益的总方差会影响预期收益，而只是收益中方差的一部分不能分散。这个结果具有很大的经济意义，因为如果投资者能够通过分散消除所有非系统性风险，那么就没有理由为他们承担更高的回报。 CAPM的所有这些含义都可以通过经验检验。D显然是错误的，因为它可以扩展到价格。