单选题 An analyst determines that four stocks have the following characteristics:

【正确答案】 C

【答案解析】
Using the CAPM, the required rate of return for each stock is:
E(R_A)=4%+0.6×(10%-4%)=7.6%.
5.0%-7.6%=-2.6% overvalued.
E(R_B)=4%+1.0×(10%-4%)=10.0%.
10.0%-10.0%=0.0% properly valued.
E(R_C)=4%+1.6×(10%-4%)=13.6%.
16.0%-13.6%=2.4% undervalued.
E(R_D)=4%+2.0×(10%-4%)=16.0%.
16.0%-16.0%=0.0% properly valued.