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程小轩 · 2023年09月16日

这题的rf用哪个,选择的依据能总结一下吗,谢谢

NO.PZ2022101402000009

问题如下:

An analyst is estimating a forward-looking ERP for a market based on the following information:


Using the Grinold-Kroner model, the estimates of the ERP is closest to:

选项:

A.

2.16%

B.

2.05%

C.

5.18%

解释:

B is correct.

The ERP using the forward-looking approach is calculated as

ERP = {1.8 – 1.2 + (1.9 + 2.7 + 0.0)} – 3.15

ERP = 5.20 – 3.15 = 2.05%.

rf选择请解释一下谢谢

1 个答案

王琛_品职助教 · 2023年09月18日

嗨,从没放弃的小努力你好:


1

计算 ERP 时,rf 使用短期利率还是利率,取决于计算 ERP 的方法

如果是「历史」估计法,取决于分析师自己的判断,长期短期各有利弊

如果是「未来」估计法,使用长期

但是这道题比较特殊,表格中的数据,并没有提供长期债的数据,所以才使用的短期

2

关于不同方法中使用 rf 的选择,老师上课有专门的表格总结哈

请参考基础班讲义墨迹版 P173

----------------------------------------------
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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