股票与投资分析Chap007.docx

Chapter07-CapitalAssetPricingandArbitragePricingTheory

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Chapter07

CapitalAssetPricingandArbitragePricingTheory

Therequiredrateofreturnonastockisrelatedtotherequiredrateofreturnonthestockmarketviabeta.AssumingthebetaofGoogleremainsconstant,theincreaseintheriskofthemarketwillincreasetherequiredrateofreturnonthemarket,andthusincreasetherequiredrateofreturnonGoogle.

AnexampleofthisscenariowouldbeaninvestmentintheSMBandHML.Asofyet,therearenovehicles(indexfundsorETFs)todirectlyinvestinSMBandHML.Whiletheymayprovesuperiortothesingleindexmodel,theyarenotyetpractical,evenforprofessionalinvestors.

a.False.AccordingtoCAPM,whenbetaiszero,the“excess”returnshouldbezero.

b.False.CAPMimpliesthattheinvestorwillonlyrequireriskpremiumforsystematicrisk.Investorsarenotrewardedforbearinghigherriskifthevolatilityresultsfromthefirm-specificrisk,andthus,canbediversified.

c.False.Wecanconstructaportfoliowiththebetaof.75byinvesting.75oftheinvestmentbudgetinthemarketportfolioandtheremainderinT-bills.

E(r)=rf+β[E(rM)–rf],rf=4%,rM=6%

$1DiscountStore:E(r)=4%+1.5?6%=13%

Everything$5:E(r)=4%+1.0?6%=10%

$1DiscountStoreisoverpriced;Everything$5isunderpriced.

a.15%.Itsexpectedreturnisexactlythesameasthemarketreturnwhenbetais1.0.

Statementaismostaccurate.

Theflawinstatementbisthatbetarepresentsonlythesystematicrisk.Ifthefirm-specificriskislowenough,thestockofKaskin,Inc.couldstillhavelesstotalriskthanthatofQuinn,Inc.

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