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15010315101 · 2024年05月06日

能给详细讲解一下这道题么?

* 问题详情,请 查看题干

NO.PZ202210140200000103

问题如下:

In the current interest rate environment, using a required return on equity estimate based on the short-term government bond rate and a historical ERP defined in terms of a short-term government bond rate would be expected to:

选项:

A.

bias long-term required return on equity estimates upward

B.

bias long-term required return on equity estimates downward

C.

have no effect on long-term required return on equity estimates.

解释:

A is correct. The required return reflects the magnitude of the historical ERP, which is generally higher when based on a short-term interest rate (as a result of the normal upward-sloping yield curve), and the current value of the rate being used to represent the risk-free rate. The short-term rate is currently higher than the long-term rate, which will also increase the required return estimate. The short-term interest rate, however, overstates the long-term expected inflation rate. Using the short-term interest rate, estimates of the long-term required return on equity will be biased upward.

能给详细讲解一下这道题么?

1 个答案

王琛_品职助教 · 2024年05月07日

嗨,努力学习的PZer你好:


1

这道题是课后题第 3 题,考点是使用历史估计法计算 ERP,顺带考了 CAPM 公式

其实这道题,老师在课上,专门当成例题,仔细讲了一遍

请参考基础班讲义墨迹版 P135-137

2

个人建议,同学可以先仔细听一下老师的讲解,因为老师专门做了板书讲解,听讲解效率更高

如果把讲解思路,完全用文字形式体现,会非常冗长,而且同学读起来效率也不高

关键是把握 CAPM 中有两个 rf,需要分别考虑影响

根据题干要求,两个 rf 都会造成高估 re,所以才选的 A

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