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KKII · 2024年05月08日

C选项为什么错?

* 问题详情,请 查看题干

NO.PZ202304040200002301

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.

这道题算re=rf + β(rm-rf),因为算的是股市的re,因而β=0,所以re=rm,rf被抵消了,所以这道题为啥不选C?




1 个答案

王琛_品职助教 · 2024年05月09日

嗨,努力学习的PZer你好:


1

同学好,如果我们换位思考,假设你是出题人哈

请问你编这道题目,主要是想考查考生哪方面的知识理解呢?

2

出题人的本意是,首先考查考生能写出 CAPM 公式

其次,公式中出现了两个 rf

需要考生分别分析:两个 rf 如果都用短期利率,对最终 re 的影响

这也是为啥题干那么长的原因,因为在分别告诉我们两个 rf 都用短期

请参考:https://class.pzacademy.com/qa/138734

3

即便贝塔等于 1,两个 rf 也消不掉的,因为计算口径也不同

第一个 rf 使用当前值 current

第二个 rf 使用历史值 historical 

4

同学的思路,其实可以部分用在课后题第 5 题当中

即,average systematic risk 相当于在说:贝塔等于 1

也请参考:https://class.pzacademy.com/qa/115930

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