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lurriss · 2023年04月24日

想问下为什么这种情况不涉及幸存者偏差？

  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？

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王琛_品职助教 · 2023年04月26日

嗨，努力学习的PZer你好：


1

我个人理解，这里也是有幸存者偏差影响的

只不过，幸存者偏差对 ERP 的高估作用，远远小于整个低迷的经济投资市场对 ERP 的低估作用

所以，综合起来，经济投资市场对 ERP 的低估占据了主导，所以选 B

2

另外，所以低估和高估，是两种情形对比的结果

关于幸存者偏差的影响（课后题第 1 题），对比的两种情形分别为

正常情形：以每年的指数构成，计算当年的收益

题干情形：以指数建立的第一年的构成，回测这些公司的前四年的收益

所以两种对比之下，题干的情形会高估 ERP

3

关于这道题（课后题第 2 题），即包含数据非平稳的影响，对比的两种情形分别为

正常情形：仅统计和平时期的 ERP（第 1 年 - 第 11 年）

因为第 16 年战争就结束了，所以更能代表当前市场环境的，其实是距离现在较远的第 1 年 - 第 11 年

题干情形：不仅统计和平时期（第 1 年 - 第 11 年），还统计了战争时期（第 12 年 - 第 16 年）

虽然战争时期距离现在更近，但是却不符合现在战争已经结束的情况。所以仅从时间维度考虑，确实距离现在越近越好，越接近现在的情形，但前提是数据是平稳的，如果发生了非平稳的情形，则需要另外考虑，比如这道题

所以使用历史估计法计算 ERP 时，如果包括了战争时期，那么肯定会导致 ERP 低估哈

也请参考：https://class.pzacademy.com/qa/119599

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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