compared to the traditional capital asset pricing model(CAPM),where lending and borrowing are carried out at the risk-free rate, a zero beta CAPM would most likely result in a security market line(SML) with:

A unchanged intercept and slope

B a higher intercept and flatter slope

C a lower intercept and steeper slope

这道题的解释说: compared to the traditional CAPM, where lending and borrowing take place at the riskfree rate, a zero beta CAPM will result in a SML that has a higher intercept and a flatter slope.

如果谁能画个图上传一下就更好了，这道题十分不理解。请用中文，用简单的思维方式，帮我解答一下好吗？

我还是觉得有点不太对  这道题我也不太确定  大牛们有兴趣讨论下哈

我的图好像画得不太对 那个 纵轴应当是 r-rf  所以 zero beta 就变成横轴了  很奇怪  也帮帮我看看怎么解这个题吧

老兄啊

那图画的不对啊。SML和纵轴的截距应该是大于零的，截距是risk free rate啊。因为risk free 的beta是0，没有系统风险。

zero beta 也没有系统风险，因此Beta为零，但是由于zero beta 有非系统风险，因此，基于zero beta 而言，market risk premium就要小，而sml线的斜率就是market risk premium，既然market risk premium小，斜率就小，截距就大。供参考