NO.PZ202105270100000502
问题如下：
Judith Bader is a senior analyst for a company that specializes in managing international developed and emerging markets equities. Next week, Bader must present proposed changes to client portfolios to the Investment Committee, and she is preparing a presentation to support the views underlying her recommendations.
Bader begins by analyzing portfolio risk. She decides to forecast a variance– covariance matrix (VCV) for 20 asset classes, using 10 years of monthly returns and incorporating both the sample statistics and the factor-model methods. To mitigate the impact of estimation error, Bader is considering combining the results of the two methods in an alternative target VCV matrix, using shrinkage estimation.
Bader asks her research assistant to comment on the two approaches and the benefits of applying shrinkage estimation. The assistant makes the following statements:
Statement 1 Shrinkage estimation of VCV matrices will decrease the efficiency of the estimates versus the sample VCV matrix.
Statement 2 Your proposed approach for estimating the VCV matrix will not be reliable because a sample VCV matrix is biased and inconsistent.
Statement 3 A factor-based VCV matrix approach may result in some portfolios that erroneously appear to be riskless if any asset returns can be completely determined by the common factors or some of the factors are redundant.
Bader then uses the Singer–Terhaar model and the final shrinkage-estimated VCV matrix to determine the equilibrium expected equity returns for all international asset classes by country. Three of the markets under consideration are located in Country A (developed market), Country B (emerging market), and Country C (emerging market). Bader projects that in relation to the global market, the equity market in Country A will remain highly integrated, the equity market in Country B will become more segmented, and the equity market in Country C will become more fully integrated.
Next, Bader applies the Grinold–Kroner model to estimate the expected equity returns for the various markets under consideration. For Country A, Bader assumes a very long-term corporate earnings growth rate of 4% per year (equal to the expected nominal GDP growth rate), a 2% rate of net share repurchases for Country A’s equities, and an expansion rate for P/E multiples of 0.5% per year.
In reviewing Countries B and C, Bader’s research assistant comments that emerging markets are especially risky owing to issues related to politics, competition, and accounting standards. As an example, Bader and her assistant discuss the risk implications of the following information related to Country B:
- Experiencing declining per capita income
- Expected to continue its persistent current account deficit below 2% of GDP
- Transitioning to International Financial Reporting Standards, with full convergence scheduled to be completed within two years
Bader shifts her focus to currency expectations relative to clients’ base currency and summarizes her assumptions in Exhibit 1.
During a conversation about Exhibit 1, Bader and her research assistant discuss the composition of each country’s currency portfolio and the potential for triggering a crisis. Bader notes that some flows and holdings are more or less supportive of the currency, stating that investments in private equity make up the majority of Country A’s currency portfolio, investments in public equity make up the majority of Country B’s currency portfolio, and investments in public debt make up the majority of Country C’s currency portfolio.
Based on expectations for changes in integration with the global market, all else being equal, the Singer–Terhaar model implies that Bader should shift capital from Country A to:
选项：
A.only Country B. B.only Country C. C.both Countries B and C.解释：
B is correct.
Bader expects the equity market in Country C (an emerging market) to become more fully integrated with the global market while Country A (a developed market) remains highly integrated. All else being equal, the Singer– Terhaar model implies that when a market becomes more globally integrated (segmented), its required return should decline (rise). As prices adjust to a lower (higher) required return, the market should deliver an even higher (lower) return than was previously expected or required by the market. Therefore, the allocation to markets that are moving toward integration should be increased. If a market is moving toward integration, its increased allocation will come at the expense of markets that are already highly integrated. This will typically entail a shift from developed markets to emerging markets.
Bader预计，C国(新兴市场)的股票市场将与全球市场更加全面地融合，而A国(发达市场)的股票市场仍将高度融合。在其他条件相同的情况下，Singer - Terhaar模型表明，当一个市场变得更加全球一体化(细分)时，其所需回报应该下降(上升)。当价格调整到一个更低(更高)的要求回报时，市场应该提供比先前预期或市场要求更高(更低)的回报。因此，应该增加对正在走向一体化的市场的配置。如果一个市场正在走向一体化，其配置的增加将以已经高度一体化的市场为代价。这需要从发达市场转向新兴市场。
"As prices adjust to a lower (higher) required return, the market should deliver an even higher (lower) return than was previously expected or required by the market. Therefore, the allocation to markets that are moving toward integration should be increased."
请问解析的这句话可以解释一下么？
知识点是：投资不要投在高度整合的国家，因为这些国家的risk premium低。而是要投到现在分割，但是即将要整合的国家？我记得有这个知识点，但是怎么理解呢？谢谢！
还有这个知识点在基础班讲义的哪里呀？我想回去再看一下
