根据 Goyal and Welch (2008) 的研究,在 1976 至 2005 年间,用股利-价格比率(dividend-price ratio)、股息收益率(dividend yield)、盈利价格比(earnings-to-price ratio)以及账面市值比(book-to-market ratio)等估值指标预测市场收益的样本外R^{2}都为负。 这一点似乎与已有研究有所冲突。但其实也不难理解。
百度试题 题目 What is the expected return of a stock that has a beta of 3.5 when the expected market return is 8% and the current risk-free rate is 4%? 相关知识点: 试题来源: 解析 22% 反馈 收藏
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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 deviationare two statistical measures that can be used to analyze a portfolio. The expected...
"the," which economists have struggled to understand. Equity premium is the excess return that is left over when risk-free assets’ returns are subtracted from the expected market return. Modern economic models such as the CapitalAsset Pricing Model(CAPM) attempt to solve the equity premium ...
1.5 Outline the arguments leading to the conclusion that all investors should choose the same portfolio of risky investments. What are the key assumptions?1.6 The expected return on the market portfolio is 12% and the risk-free rate is 6%. What is the expected return on an investment with...
If the risk-free rate is {eq}11.5 {/eq} percent and the market risk premium is {eq}7.0 {/eq} percent, what is the required return for the market? a. {eq}7.0\% {/eq}. b. {eq}11.5\% {/eq}. c. ...
正确答案:B 分享到: 答案解析: The expected return of a stock with a beta of 1.0 must, on average, be the same as the expected return of the market which also has a beta of 1.0. 统计:共计12人答过,平均正确率83.33% 问题:进入高顿部落发帖帮助 相似题型 热门网课更多>> 论坛精华更多>...
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free para...
We derive a formula that expresses the expected return on a stock in terms of the risk-neutral variance of the market and the stock's excess risk-neutral variance relative to the average stock. These components can be computed from index and stock option prices; the formula has no free ...