位置18的问题 Based on the capital asset pricing model (CAPM), which of the following should earn the highest risk premium?Stock with a beta of 1.24U.S. Treasury billDiversified portfolio with returns similar to the overall marketPortfolio with a beta of 1.12Stock with a beta of .63清除选择

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BlackTom AI · Accepted Answer

The question asks which option should earn the highest risk premium according to CAPM. CAPM links expected return to systematic risk, which is measured by beta; higher beta implies higher non-diversifiable risk and thus a higher risk premium.
Option 1: Stock with a beta of 1.24. This stock has the largest beta among the choices, meaning it carries the most systematic risk relative to the market. Under CAPM, a higher beta should be compensated with a higher risk premium, all else equal.
Option 2: U.S. Treasury bill. T-bills are considered risk-free (approximately zero beta and effectively zero market risk premium). They do not earn a risk premium; instead, they earn the risk-free rate, so this option would not have the highest risk premium.
Option 3: Diversified portfolio with returns similar to the overall market. This portfolio has beta close to 1 (roughly equal to the market). Its risk premium should align with the market risk premium, which is lower than the premium associated with a beta of 1.24.
Option 4: Portfolio with a beta of 1.12. This is another high-beta option, but its beta is still smaller than 1.24, so its required risk premium should be lower than that of the stock with beta 1.24, assuming similar market conditions and expectations.
Option 5: Stock with a beta of .63. This stock has a beta well below 1, indicating less systematic risk than the market. Its risk premium would be smaller than the market premium and certainly smaller than that of higher-beta stocks.
Taking all options together, the one with the greatest systematic risk exposure is the stock with beta 1.24, and thus it should command the largest risk premium under the CAPM framework. Each of the other options either represents a risk-free asset, market-typical risk, or lower-than-market risk, leading to smaller risk premia.

位置18的问题 Based on the capital asset pricing model (CAPM), which of the following should earn the highest risk premium?Stock with a beta of 1.24U.S. Treasury billDiversified portfolio with returns similar to the overall marketPortfolio with a beta of 1.12Stock with a beta of .63清除选择

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