u****h
发帖数: 2193 | 1 Consider a stock whose return strictly follows CAPM. The market has gross
return of 10% on month 1 and 10% on month 2 the beta is 2. Risk free is 0.
What is the return of the stock over the 2 day period, 1.44 or 1.42?
If we use CAPM for month day followed by another day, the each month stock
return would be 2*(10%) = 20%, so after two months the return would be (1+20
%) * (1+20%) - 1 = 44%.
However, if we use CAPM for two months directly, the market return after two
months would be 21%, and stock return from CAPM would be 42% | q**j
发帖数: 10612 | 2 depends on beta? is that a one day beta or two day beta? theoretically, beta
is a one-instant concept, so i want say 44% might be better.
Consider a stock whose return strictly follows CAPM. The market has gross
return of 10% on month 1 and 10% on month 2 the beta is 2. Risk free is 0.
What is the return of the stock over the 2 day period, 1.44 or 1.42?
If we use CAPM for month day followed by another day, the each month stock
return would be 2*(10%) = 20%, so after two months the return would be (1+20
%) * (1+20%) - 1 = 44%.
However, if we use CAPM for two months directly, the market return after two
months would be 21%, and stock return from CAPM would be 42%
【在 u****h 的大作中提到】
: Consider a stock whose return strictly follows CAPM. The market has gross
: return of 10% on month 1 and 10% on month 2 the beta is 2. Risk free is 0.
: What is the return of the stock over the 2 day period, 1.44 or 1.42?
: If we use CAPM for month day followed by another day, the each month stock
: return would be 2*(10%) = 20%, so after two months the return would be (1+20
: %) * (1+20%) - 1 = 44%.
: However, if we use CAPM for two months directly, the market return after two
: months would be 21%, and stock return from CAPM would be 42%
| A***l
发帖数: 302 | 3 Isn't CAPM supposed to be a one-period model?
20
two
【在 u****h 的大作中提到】
: Consider a stock whose return strictly follows CAPM. The market has gross
: return of 10% on month 1 and 10% on month 2 the beta is 2. Risk free is 0.
: What is the return of the stock over the 2 day period, 1.44 or 1.42?
: If we use CAPM for month day followed by another day, the each month stock
: return would be 2*(10%) = 20%, so after two months the return would be (1+20
: %) * (1+20%) - 1 = 44%.
: However, if we use CAPM for two months directly, the market return after two
: months would be 21%, and stock return from CAPM would be 42%
| a*********r
发帖数: 139 | 4 Agree. CAPM is a one-period model. For multiperiod model, one should use
Arbitrage Pricing Theory.
【在 A***l 的大作中提到】
: Isn't CAPM supposed to be a one-period model?
:
: 20
: two
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