臨近FRM考試對(duì)于考生來說重要的就是做題，尤其是近幾年的FRM真題。下文是融躍小編列舉的FRM錯(cuò)題解讀，備考生看過來！

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An analyst gathered the following data about three stocks:

FRM真題

If the risk-free rate is 8 % and the risk-premium on the market is 7%，are Stock A and Stock C undervalued, properly valued, or overvalued, according to the security market line (SML)?

A.(StockA)Undervalued(StockC)Undervalued

B.(StockA)Overvalued(StockC)Overvalued

C.(StockA)Undervalued(StockC)Overvalued

D.(StockA)Overvalued(StockC)Undervalued

答案：D

解析：Stock A =8 % + 1.5(7%)=18.5%. Because the estimated return of 15.0% is less than the required return of 18.5%, Stock A is overvalued. Stock C = 8 % + 0.6(7%) =12.2%. Because the estimated return of 14.2% is greater than the required return of 1 2 .2 %. Stock C is undervalued.

關(guān)聯(lián)考點(diǎn)：CAPM模型、SML線

易錯(cuò)點(diǎn)分析：高估或低估針對(duì)的是價(jià)格，而不是收益率，但收益率和價(jià)格是呈負(fù)相關(guān)關(guān)系，收益率越高（相對(duì)于CAPM模型算出來的理論要求回報(bào)率），說明其折現(xiàn)率越高，對(duì)應(yīng)的價(jià)格就越低（相對(duì)于CAPM模型算出來的合理定價(jià)的價(jià)格水平），即價(jià)格被低估，反之，則價(jià)格被高估；在本題目中，股票A的實(shí)際收益率（estimated return）小于要求回報(bào)率（即CAPM模型算出來的回報(bào)率），則說明價(jià)格較高，則價(jià)格被高估，同理，股票C被低估。掃碼預(yù)約

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