注册 登录
上一主题：Reading 68: International Asset Pricing-LOS d 习题精选
下一主题：Reading 68: International Asset Pricing-LOS b 习题精选
返回列表 发帖
土豆妮

Rank: 4

UID
137525 
帖子
5724 
主题
885 
注册时间
2009-7-1 
最后登录
2011-3-29 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-3-29 15:18 | 只看该作者

Reading 68: International Asset Pricing-LOS c 习题精选

center, domestic, capital, div, class
Session 18: Portfolio Management: Capital Market Theory and the Portfolio Management Process
Reading 68: International Asset Pricing

LOS c: Discuss the assumptions of the domestic capital asset pricing model (CAPM).

 

 

Users of the capital asset pricing model (CAPM) must assume that:

A)
 inflation remains moderate.
B)
 all investors are risk-averse.
C)
 exchange rates are not excessive.

 

One of the assumptions of the CAPM is that all investors are risk-averse, preferring more return and less risk, all else equal. The other assumptions are not required.

 

相关主题：

. Reading 68: International Asset Pricing-LOS b 习题精选

. Reading 67: A Note on Harry M. Markowitz’s “Market Efficie

. Reading 65: Using Credit Derivatives to Enhance Return and M

. Reading 63: Swap Markets and Contracts-LOS g 习题精选

. Reading 63: Swap Markets and Contracts-LOS e 习题精选

收藏 分享

土豆妮

Rank: 4

UID
137525 
帖子
5724 
主题
885 
注册时间
2009-7-1 
最后登录
2011-3-29 
2#
发表于 2011-3-29 15:21 | 只看该作者

Horace Malthusson likes to use the CAPM in his stock valuation. When using the CAPM to value stocks, Malthusson assumes that he can borrow money at the risk-free rate, tax rates are stable, and every investor has the same expected rate of return. The assumptions required by the CAPM differ from Malthusson’s assumptions with regard to:

A)
 tax rates.
B)
 expected returns.
C)
 borrowing capability.

The capital asset pricing model requires that investors assume there are no taxes. Malthusson’s other assumptions match those of the CAPM.

TOP

土豆妮

Rank: 4

UID
137525 
帖子
5724 
主题
885 
注册时间
2009-7-1 
最后登录
2011-3-29 
3#
发表于 2011-3-29 15:21 | 只看该作者

The capital asset pricing model (CAPM) is least effective when used to value:

A)
 thinly traded stocks.
B)
 bonds.
C)
 extremely volatile stocks.

The CAPM uses beta to reflect volatility, so it can handle volatile stocks. Thinly traded stocks are a problem, but as long as trading is sufficient to provide a beta, the CAPM can be used. It is also possible to estimate beta for thinly traded stocks. However, the CAPM does not work at all for bonds. It uses an equity risk premium, and as such is designed for use only with equities.

TOP

返回列表
上一主题：Reading 68: International Asset Pricing-LOS d 习题精选
下一主题：Reading 68: International Asset Pricing-LOS b 习题精选