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shero · 2024年07月04日

短期利率高，减去一个高的数，不应该是下降的吗

  1. CFA II
  2. Corporate Issuers

* 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.

短期利率高，减去一个高的数，不应该是下降的吗

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王琛_品职助教 · 2024年07月05日

嗨，爱思考的PZer你好：


不是哦，咱们一共要分析两个短期利率对 Re 的影响

这道题我之前刚好详细总结过，同学可以先参考一下：https://class.pzacademy.com/qa/164446

如果同学还有疑问，可以追问或者评论，我再回答同学的后续问题哈

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