单选题
An analyst determines that four stocks have the following characteristics:
|
Stock |
Beta |
Estimated return |
|
A
B
C
D |
0.6
1.0
1.6
2.0 |
5%
10%
16%
16% |
If the risk-free rate is 4 percent and the expected return on the market is 10 percent, which of the following statements is FALSE? A. Stock A is overvalued. B. Stock D is overvalued. C. Stock B is properly valuced and Stock C is undervalued.
【正确答案】
B
【答案解析】
Using the CAPM, the required rate of return for each stock is:
E(RA)=4%+0.6×(10%-4%)=7.6%.
5.0%-7.6%=-2.6%
overvalued.
E(RB)=4%+1.0×(10%-4%)=10.0%.
10.0%-10.0%=0.0% properly valued.
E(RC)=4%+1.6×(10%-4%)=13.6%.
16.0%-13.6%=2.4%
undervalued.
E(RD)=4%+2.0×(10%-4%)=16.0%.
16.0%-16.0%=0.0% properly valued.