单选题
An analyst has gathered the following data about a stock:
●A beta of 1.6.
●An actual return of 12%.
●The market rate of return is 5%.
●The risk-free rate is 3%.
Compute the stock"s abnormal return.
A、
2.7%
B、
4.3%
C、
5.8%
【正确答案】
C
【答案解析】
[解析] 超额回报率=实际回报率-基于CAPM模型的必要回报率=12%-[3%+1.6×(5%-3%)]=5.8%
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