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magico · 2019年12月01日

问一道题：NO.PZ201512300100000305

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

5. Common stock issues in the above market with average systematic risk are most likely to have required rates of return:

选项：

A.

between 2 percent and 7 percent.

B.

between 7 and 9 percent.

C.

9 percent or greater.

解释：

C is correct.

Based on a long-term government bond yield of 7 percent, a beta of 1, and any of the risk premium estimates that can be calculatedfrom the givens (e.g., a 2 percent historical risk premium estimate or 4.3 percent supply side equity risk premium estimate), the required rate ofreturn would be at least 9 percent. Based on using a short-term rate of 9 percent, C is the correct choice.

似乎不太理解本题的解释

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1 个答案

maggie_品职助教 · 2019年12月02日

这道题就是根据CAPM模型以及题目中的数据，在假设贝塔等于1（average systematic risk是大盘的系统性风险等于1）的情况下，计算要求回报率。

那么带入数字，这道题答案说的是如果用long term government bond yield做RF那么要求回报率至少是9%，如果RF基于短期国债利率，那么要求回报率就远高于9%，所以这道题答案选C


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