单选题 Securities A and B have forecasted returns of 14% and 18% over the next 12 months. During the same period, the market (M) is expected to generate returns of 16%. The risk-free rate is 6% , and β = 1.1. The forecasted price for next year for security A is $ 60. According to the CAPM, what should A sell for today?

A、

A. $51.72.
B、

B. $54.05.
C、

C. $51.28.

【正确答案】 C

【答案解析】Since the CAPM required return for A is 6% +1.1×(16%-6%)=17%, the intrinsic value of A will be $ 60/1.17=$ 51.28.