FRM一級風險管理基礎例題解析stocks valued

發(fā)布時間：2025-06-26 15:16編輯：融躍教育FRM

An analyst gathered the following data about three stocks:

frm一級例題圖

If the risk-free rate is 8 % and the risk-premium on the market is 7%，are Stock A and Stock C undervalued, properly valued, or overvalued,according to the security market line (SML)?

A. (Stock A) Undervalued (Stock C) Undervalued

B. (Stock A) Overvalued (Stock C) Overvalued

C. (Stock A) Undervalued (Stock C) Overvalued

D. (Stock A) Overvalued (Stock C) Undervalued

答案：D

解析：Stock A =8 % + 1.5(7%)=18.5%. Because the estimated return of 15.0% is less than the required return of 18.5%, Stock A is overvalued. Stock C = 8 % + 0.6(7%) =12.2%. Because the estimated return of 14.2% is greater than the required return of 1 2 .2 %. Stock C is undervalued.

關聯(lián)考點：CAPM模型、SML線

易錯點分析：高估或低估針對的是價格，而不是收益率，但收益率和價格是呈負相關關系，收益率越高（相對于CAPM模型算出來的理論要求回報率），說明其折現(xiàn)率越高，對應的價格就越低（相對于CAPM模型算出來的合理定價的價格水平），即價格被低估，反之，則價格被高估；在本題目中，股票A的實際收益率（estimated return）小于要求回報率（即CAPM模型算出來的回報率），則說明價格較高，則價格被高估，同理，股票C被低估。

關鍵詞：

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FRM一級風險管理基礎例題解析stocks valued，If the risk-free rate is 8 % and the risk-premium on the market is 7%，are Stock A and Stock C undervalued, properly valued, or overvalued,according to the security market line (SML)?