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黄路迦 · 2023年02月26日

如下

  1. CFA II
  2. Corporate Issuers

NO.PZ2022101402000008

问题如下：

An analyst is estimating a historical ERP for a market based on the following information.


The historical ERP is closest to:

选项：

A.

3.15%

B.

6.81%

C.

9.96%

解释：

B is correct.

The ERP using the historical approach is calculated as the mean value of the difference between a broad-based equity market index return and a government debt return. Therefore, the ERP using the historical approach is calculated as 9.96% – 3.15% = 6.81%.

long term geometric average return of short term government bond 是什么意思？是根据长期平均收益计算出的短期国债的意思吗？historical ERP中的rf有要求是长期的还是短期的吗？

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1 个答案

王琛_品职助教 · 2023年02月27日

嗨，从没放弃的小努力你好：


1）long term geometric average return of short term government bond 是什么意思？是根据长期平均收益计算出的短期国债的意思吗？

可以这么理解，建议参考老师上课讲解的历史估计法计算 ERP 的原理

请参考基础班讲义墨迹版 P126

long term 对应墨迹中，5 年月数据，指的是统计的时间，是长期的

geometric average 对应墨迹中，计算均值的方法，有几何平均，算数平均；这里取几何平均

return of short term government bond 对应墨迹中，每个月的 rf

2）historical ERP中的rf有要求是长期的还是短期的吗？

没有要求，可长可短，各有优缺点，取决于分析师自己的判断和选择

请参考基础班讲义墨迹版 P133

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