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刘杨 · 2024年03月30日

关于历史法

  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%.

历史法的Rf，可选长期也可以选短期，那为啥不是0.96%呢，因为是current，而不是过去“短期”的几何平均？

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1 个答案

王琛_品职助教 · 2024年04月01日

嗨，从没放弃的小努力你好：


是的

在使用历史估计法计算 ERP 的背景下，计算历史每一期的 ERP 时，Rm 和 Rf 对应的都是历史某一时点的值，并不是当前值哈

请参考基础班讲义墨迹版 P126

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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