Principles of Finance · 免费预览
资本资产定价模型
CAPM 将资产的必要收益率定价为无风险利率加上 beta 乘以市场风险溢价，其中 beta 衡量该资产对市场投资组合风险的贡献；该模型还提供估值模块所使用的贴现率。
1. The model's equation and logic
The model's equation and logic
2. Beta as priced sensitivity
Beta as priced sensitivity
3. The security market line
The security market line
4. Feeding the valuation modules
Feeding the valuation modules
5. The CAPM equation
According to the CAPM, what determines a stock's required return?
6. Computing the required return
A stock has beta 1.2, the risk-free rate is 3 percent, and the market premium is 6 percent. What return do investors require?
7. Beta's definition
In the capital asset pricing model, which kind of risk does beta measure?
8. Reading the security market line
A stock offers an expected return above what its beta requires on the security market line. What does the CAPM conclude?
9. Why only systematic risk is priced
Why does the CAPM price systematic risk but not unsystematic risk?
10. The model's role in valuation
What is the CAPM's main consuming role in this course's valuation modules?
11. The market premium's two words
What two-word term names the excess of the expected market return over the risk-free rate that the CAPM scales by beta? Answer in lowercase.
12. The pricing line's name
What three-word term names the upward line from the risk-free rate through the market portfolio that graphs the CAPM's fair pricing? Answer in lowercase.
13. The market portfolio's beta
By construction, the market portfolio's own beta equals what number? Write the number.
14. The unobservable portfolio's proxy
What broad diversified index stands in for the theoretical market portfolio when betas are estimated? Answer with two words.