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Christinafx · 2025年02月25日

问个问题

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000057

问题如下：

An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:

Using the information in the table, calculate the historical Australian equity risk premium by the “equity-vs-bonds” premium method.

选项：

A.

4.6%

B.

2.7%

C.

1.8 %

解释：

C is correct.

The historical equity risk premium is 1.8%, calculated as follows:

Historical equity returns – Historical 10-year government bond yield = Historical equity risk premium

4.6% – 2.8% = 1.8%

解析：

Historical equity returns=historical 10-year government bond yield + Historical equity risk premium，根据此等式，我们就可以反求出Historical equity risk premium= 4.6% – 2.8% = 1.8%注意到题目要求的是历史数据 ， 所以求解此题时都应该用表格第一列的数据 。

为啥这道题没有用historical那列的数据 用GK model把equity return算出来再减去bond的收益算premium？而是直接用了现成的

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1 个答案

源_品职助教 · 2025年02月25日

嗨，努力学习的PZer你好：



因为题目已经直接给出了关于股权的历史数据，就没有必要自己求了。

而且用GK模型求解，也缺少“回购收益”一类的数据支撑。


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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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