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Katherine · 2024年03月21日

请问非上市公司计算re，expanded CAPM和buildup approach中的rf 都要求用长期国债来匹配期限，对吗

  1. CFA II
  2. Corporate Issuers

NO.PZ2023040402000024

问题如下：

After considering these alternative methods, Hughes selects the Fama–French model as his preferred method. His first determination is for Western Plains Rail (WPR), using the data presented in Exhibit 1.


Using the data in Exhibit 1 and Hughes’ preferred method, the required return on equity for Western Plains Rail is closest to:

选项：

A.

6.6%.

B.

6.3%.

C.

9.2%.

解释：

The Fama–French model estimate for return on equity is calculated using the formula

FFM: re = 1.2% + 1.3 × (5.2%) – 0.2 × (2.0%) – 0.3 × (4.3%)

= 1.2% + 6.76% – 0.40% – 1.29%

= 6.27% ≈ 6.30%

请问非上市公司计算re，expanded CAPM和buildup approach中的rf 都要求用长期国债来匹配期限，对吗？

只有risk-based model，（其中包括单因子CAPM、famafrench3、5因子模型）由于计算公式有β，要做回归，所以需要用短期国债 T-bill 的rf，对吗？

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1 个答案

王琛_品职助教 · 2024年03月23日

嗨，爱思考的PZer你好：


1）请问非上市公司计算re，expanded CAPM和buildup approach中的rf 都要求用长期国债来匹配期限，对吗？

关于 expanded CAPM 的 rf 的选择，原版书并没有涉及这方面内容，所以考纲不涉及，咱们不用管哈

我个人理解，是同 risk-based model，因为要做回归，所以使用短期 rf

关于 build-up approach 的 rf 的选择，同学的理解是对的，使用长期 rf

2）只有risk-based model，（其中包括单因子CAPM、famafrench3、5因子模型）由于计算公式有β，要做回归，所以需要用短期国债 T-bill 的rf，对吗？

是的

也请参考基础班讲义墨迹版 P173 的总结表格

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加油吧，让我们一起遇见更好的自己！

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