单选题

The following information is available for a firm.

Market Risk Premium:	7.0%
Risk-free Rate:	2.0%
Comparable Firm Return:	10.4%
Comparable Firm Debt-to-Equity Ratio:	1.0
Comparable Firm Tax Rate:	40.0%

The firm’s unlevered beta is closest to:

A、 0.75.
B、 1.05.
C、 1.20.

【正确答案】 A

【答案解析】

Find the comparable firm’s beta: (10.4% - 2.0%) ÷ 7.0% = 1.20.
Un-lever the comparable firm’s beta: β _L,comparable ÷ (1 + (1 – tax rate) × debt-to-equity ratio) = 1.20 ÷ (1 + (1 – 40%) × 1.0) =0.75.