开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

双 · 2023年02月22日

这道题没看懂，能解释下吗？

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202210140200000102

问题如下：

The events of 2012 to 2016 would be expected to:

选项：

A.

bias the historical ERP estimate upward

B.

bias the historical ERP estimate downward

C.

have no effect on the historical ERP estimate

解释：

B is correct. The events of Year 12 through Year 16 depressed share returns but (1) are not a persistent feature of the stock market environment, (2) were not offset by other positive events within the historical record, and (3) have led to relatively low valuation levels, which are expected to rebound.

这道题没看懂，能解释下吗？

添加评论
1 个答案

王琛_品职助教 · 2023年02月23日

嗨，努力学习的PZer你好：


1

题目问：从第 12 年到第 16 年的事件，将会使历史估计法计算的 ERP 高估还是低估？

考点是使用历史估计法计算 ERP，因为选项中的关键词是 historical ERP

2

回到题干背景，从第 12 年到第 16 年，这个国家发生了一系列的边境冲突

"From Year 12 to Year 16, a series of military confrontations concerning a disputed border ..."

那么国家在打仗，投资者关注的都是生存第一；再加上连年战争，影响了企业正常的经营，所以股票市场收益会下降

题干背景也有提示 "disrupted the economy and financial markets"

3

相当于第 12 年到第 16 年的 Rm 都不是和平时期的水平，都变低了

所以 Rm - rf 变低，即使用历史估计法计算的 ERP 是低估，所以选择 B 低估  

4

关于历史估计法计算 ERP 的原理，也请参考基础班讲义墨迹版 P126

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 824

    浏览
相关问题

NO.PZ202210140200000102 问题如下 equity inx is establishein Ye1 for a country thhrecently moveto a market economy. The inx venr constructereturns for the four years prior to Ye1 baseon the initigroup of companies constituting the inx in Ye1. From Ye12 to Ye16, a series of military confrontations concerning a sputeborr sruptethe economy anfinancimarkets. The spute is conclusively arbitratethe enof Ye16. In total, 20 years of equity market return history is available. Other selecteta are in the following tables. The events of 2012 to 2016 woulexpecteto: A.bithe historicERP estimate upwar B.bithe historicERP estimate wnwar C.have no effeon the historicERP estimate B is correct. The events of Ye12 through Ye16 presseshare returns but (1) are not a persistent feature of the stomarket environment, (2) were not offset other positive events within the historicrecor an(3) have leto relatively low valuation levels, whiare expecteto reboun 另一个问题里经济衰退ERP升高 https://class.pzacamy.com/qa/122411这个问题里战争摧毁经济 ERP降低。不矛盾么？

2024-04-15 00:15 1 · 回答

NO.PZ202210140200000102问题如下 The events of 2012 to 2016 woulexpecteto: A.bithe historicERP estimate upwar.bithe historicERP estimate wnwar.have no effeon the historicERP estimate B is correct. The events of Ye12 through Ye16 presseshare returns but (1) are not a persistent feature of the stomarket environment, (2) were not offset other positive events within the historicrecor an(3) have leto relatively low valuation levels, whiare expecteto reboun 这种情况下是不是也有公司因为太差而关闭，没有纳入指数的考虑，导致高估呢？

2023-04-24 19:30 1 · 回答

NO.PZ202210140200000102问题如下 The events of 2012 to 2016 woulexpecteto: A.bithe historicERP estimate upwar.bithe historicERP estimate wnwar.have no effeon the historicERP estimate B is correct. The events of Ye12 through Ye16 presseshare returns but (1) are not a persistent feature of the stomarket environment, (2) were not offset other positive events within the historicrecor an(3) have leto relatively low valuation levels, whiare expecteto reboun rm市场收益率，因为战争因素，市场风险增加，所以对rm的要求回报率上升，所以rm不是应该增加才对吗

2023-03-01 10:26 1 · 回答