2009 mock 下午的最后一题 result, higher, where

pingguohjy

谁能帮我解释一下这是为啥捏？谢谢～！

2009 mock PM 120

Compared to the traditional CAPM, where lending and borrowing takes place at the
risk-free rate, a zero beta CAPM will result in a SML that has a higher intercept
and a flatter slope.

testppmm

 0-beta portfolio's return 小于risk- free asset's return

pingguohjy

谢谢楼上，好像懂了
你截图里面说assuming the return for the zero-beta portfolio is greater than that for a risk -free asset， 才会变平，那有没有可能0-beta portfolio's return 小于risk- free asset's return?那样的话就变陡了？

coolzwy

由于0B CAPM Risk Premium 小————》SML变平－－－》X轴的截距也相应变高。看我的修改的P269的图，淡淡的是我用铅笔划的Traditional CAPM SML。

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2009-6-5 14:03