CAPM has been subject to much criticism over the years, andusing it to forecast expected returns isn't guaranteed to yield accurate results. Risks arise because the market return may not meet expectations, the risk-free rate may go up or down and the asset's beta may change. Advertisement...
doi:10.1007/0-387-26336-5_799One implication of the capital asset pricing model (CAPM) is that security risk premiums (expected excess returns) will be proportional to beta. This is used to describe relationship between return anChengFew LeeAlice C. LeeSpringer US...
The only way to produce a negative expected return with a positive beta is if the risk-free rate of return exceeds the overall return of the market. This is unlikely to ever occur, as investors will not choose to purchase more risky securities without the possibility of a greater return. D...
In the capital asset pricing model, the expected return on an asset with a beta equal to zero would be equal to ___. A. the expected return on the market portfolio B. the risk premium on the market portfolio C. zero D. the risk-free rate相关...
Asset 1 hasexpected returnr1.───资产的预期收益率是。 You'd have a higherexpected returnwith no more variance.───你的预期收益率提高了,但风险没有增加。 The yield is how much interest you earn if you hold the bond to maturity, which people often equate withexpected return.───收益...
Sign up with one click: Facebook Twitter Google Share on Facebook expected (redirected fromExpected return) Thesaurus Medical Financial Encyclopedia Wikipedia Related to Expected return:expected rate of return ex·pect (ĭk-spĕkt′) v.ex·pect·ed,ex·pect·ing,ex·pects ...
The Conditional Beta and the Cross-Section of Expected Returns Most empirical studies of the static CAPM assume that betas remain constant over time and that the return on the value-weighted portfolio of all stocks is ... C Peake - 《Cfa Digest》 被引量: 0发表: 2009年 Idiosyncratic risk ...
If the expected return on the equity market is 10% and the risk-free rate is 3%, the required return on an asset with beta of 0.6 is closest to : A. 6.0%. B. 9.0%. C. 7.2%. 相关知识点: 试题来源: 解析 C 略 反馈 收藏
But the true cross-sectional expected return-beta relation is exact when the index is efficient, so no variable other than beta can explain any part of the true cross-section of expected returns. Conversely, if the index is not efficient, the ex ante cross-sectional relation does not hold ...
ra= expected return; rf= therisk-free rate of return; β = the investment'sbeta; and rm=the expected market return The expected return above the risk-free rate of return depends on the investment's beta, or relative volatility compared to the broader market. The expected return andstandard...