NO.PZ201512300100000304
问题如下：
4. A supply side estimate of the equity risk premium as presented by The Ibbotson Chen earnings model is closest to:
选项：
A.3.2 percent.
B.4.0 percent.
C.4.3 percent.
解释：
C is correct.
According to this model, the equity risk premium is
Here: Equity risk premium = {[(1 + EINFL)(1 + EGREPS)(1 + EGPE) − 1.0] + EINC}−Expected risk-free return
EINFL = 4 percent per year (long-term forecast of inflation)
EGREPS = 5 percent per year (growth in real earnings)
EGPE = 1 percent per year (growth in market P/E ratio)
EINC = 1 percent per year (dividend yield or the income portion)
Risk-free return = 7 percent per year (for 10-year maturities)
By substitution, we get:{[(1.04)(1.05)(1.01) − 1.0] + 0.01} − 0.07 = 0.113 − 0.07 = 0.043 or 4.3 percent.
The geometric mean return relative to 10-year government bond returns over 10years is 2 percent per year. 2%为什么不能作为rf
