绗簲绔?/p>
銆婇闄╀笌鏀剁泭鍒嗘瀽銆嬬粌涔犻绛旀
渚?/p>
1
锛氭棤椋庨櫓璇佸埜鐨勬敹鐩婄巼涓?/p>
7%
锛屽競鍦鸿瘉鍒哥粍鍚堢殑鏀剁泭鐜囦负
13%
銆?/p>
(1)
濡傛灉鏌愪竴鎶曡祫璁″垝鐨?/p>
Beta
绯绘暟
0.8
锛屽叾鐭湡鐨勬敹鐩婄巼涓?/p>
12%
锛屾槸鍚﹀簲璇ユ姇璧勶紵
(2)
濡傛灉鏌愯瘉鍒哥殑瑕佹眰鏀剁泭鐜囨槸
16%
锛屽垯鍏?/p>
Beta
绯绘暟鏄灏戯紵
姹傝В锛?/p>
(1)
鎶曡祫鑰呰姹傜殑鏀剁泭鐜?/p>
=7%+0.8*(13%-7%)=11.8%
(2) 16%
锛?/p>
7%+Beta*(13%-7%)
锛岃В寰?/p>
Beta=1.5
渚?/p>
2
锛?/p>
鍋囪浣犳墍鎸佹湁鐨勮瘉鍒哥粍鍚堢敱浠ヤ笅鑲＄エ缁勬垚锛?/p>
鑲＄エ
鍦ㄨ瘉鍒哥粍鍚堜腑鐨勬瘮渚?/p>
(%)
Beta
棰勬湡鏀剁泭鐜?/p>
(%)
A
10
1.00
12
B
25
0.75
11
C
15
1.30
15
D
30
0.60
9
E
20
1.20
14
濡傛灉鏃犻闄╁埄鐜囦负
8%
锛屽競鍦鸿姹傛敹鐩婄巼涓?/p>
11.6%
锛屽垯锛?/p>
锛?/p>
1
锛夎绠楃粍鍚堟姇璧勭殑鏈熸湜鏀剁泭鐜?/p>
锛?/p>
2
锛夎绠楃粍鍚堟姇璧勭殑
Beta
绯绘暟
锛?/p>
3
锛夌敾鍑鸿瘉鍒稿競鍦虹嚎锛屽苟鏍囧嚭缁勫悎鎶曡祫鐨勫悇鑲＄エ
锛?/p>
4
锛夊湪浣犳墍鐢荤殑鍥句腑鎵惧嚭鍝绫诲瀷鑲＄エ浼氫娇璇ョ粍鍚堢殑鎶曡祫鑰呯泩鍒╋紝鍝鑲＄エ浼氫娇鍏朵簭鎹熴�?/p>
姹傝В锛?/p>
(1)
缁勫悎鎶曡祫鐨勬湡鏈涙敹鐩婄巼
=10%*12%+25%*11%+15%*15%+30%*9%+20%*14%=11.7%
(2)
缁勫悎鎶曡祫鐨?/p>
Beta=10%*1.00+25%*0.75+15%*1.30+30%*0.60+20%*1.20=0.9025
(3)
鐢诲浘锛氭牴鎹?/p>
beta
鍜岃姹傜殑鏀剁泭鐜囨潵鐢诲浘銆?/p>
(4)
璁＄畻
鑲＄エ
Beta
瑕佹眰鐨勬敹鐩婄巼
(%)
棰勬湡鏀剁泭鐜?/p>
(%)
鑲＄エ瀵规姇璧勭粍鍚?
鐨勫奖鍝?/p>
A
1.00
11.60
12
鐩堝埄
B
0.75
10.70
11
鐩堝埄
C
1.30
12.68
15
鐩堝埄
D
0.60
10.16
9
浜忔崯
E
1.20
12.32
14
鐩堝埄