标题: overvalued vs under valued [打印本页]

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作者: kseniaru    时间: 2011-7-11 19:52     标题: overvalued vs under valued

estimated rate of return = 13%
expected rate of return for market port = 12%
risk free rate = 3%

if the covariance of the returns on the stock with the returns on the arket portoflio is equal to the variance of the returns on the market portfolio, the analyst's most appropriate conclusion is that the stock is???

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作者: nitoha    时间: 2011-7-11 19:52

undervalued.

Cov(i,M)/Var(M) = Beta = 1

E(R) = 3+ (12-3) = 12
Estimated(R) = 13

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作者: LokiDog2    时间: 2011-7-11 19:52

whoops!!!! i totally forgot to subtract the risk free rate from the expected market rate.

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