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

黄路迦 · 2023年03月01日

如下

  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.

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

添加评论
1 个答案

王琛_品职助教 · 2023年03月02日

嗨，努力学习的PZer你好：


1

题目只是问 ERP，是 Rm - rf

Rm 统计的是市场的收益，比如所有上市公司的平均收益，这里不考虑风险

如果考虑风险，就不是 ERP 了，而是 cost of equity 了，可以在 ERP 之后，再加入比如因为战争所带来的风险

相当于在该国投资，相比于在其他没有战争的国家投资，要多一个涉及到战争的风险溢价

2

关于战争期间的 Rm，其实是下降的

咱不说战争，就说疫情吧

同学可以回忆一下，有的地方封城数月，老百姓都封在家里，整个城市街道都空无一人

疫情期间整个市场的收益是如何，同学应该感同身受哈

这里的关键是，区分 ERP 和要求回报率，后者会考虑多个风险溢价，比如战争等

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

  • 1

    回答

  • 0

    关注

  • 477

    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 这道题没看懂，能下吗？

2023-02-22 22:15 1 · 回答