题目
Which of the following statements concerning the capital asset pricing model （CAPM） and the security market line （SML） is correct?
选项
A.Beta identifies the appropriate level of risk for which an investor should be compensated.
B.Unsystematic risk is not diversifiable, so there is no reward for taking on such risk.
C.Assets with equivalent betas will always earn different returns.
D.The market risk premium is calculated by multiplying beta by the difference between the expected return on the market and the risk-free rate of return.
答案
A
解析
Beta identifies the appropriate level of risk for which an investor should be compensated. Unsystematic risk is asset-specific and, therefore, a diversifiable risk. The market risk premium is calculated as the excess of the expected return on the market over the risk-free rate of return. Assets with equivalent betas should earn the same return because arbitrage will prevent assets with the same risk from earning different returns.Beta 确定了应补偿投资者的适当风险等级。 非系统风险是针对特定资产的，因此是可分散的风险。市场风险溢价的计算方法是预期市场收益率减去无风险收益率。 Beta 值相等的资产应获得相同的回报，因为套利可以防止具有相同风险的资产获得不同的回报。