单选题
A stock has a beta of 0.9 and an estimated return of 10%. The
risk-free rate is 7%, and the expected return on the market is 11%. According to
the CAPM, this stock:
A. is overvalued.
B. is undervalued.
C. is properly valued.
【正确答案】
A
【答案解析】E(R) =7%+0.9×(11%-7%) =10.6%. Because the expected return of 10% is less than the required return of 10.6% , the security is overvalued.