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月乔DD · 2020年02月01日

问一道题:NO.PZ2015121810000042

问题如下:

Risk-averse investors demanding a large equity risk premium are most likely expecting their future consumption outcomes and equity returns to be:

选项:

A.

uncorrelated.

B.

positively correlated.

C.

negatively correlated.

解释:

B is correct.

If investors demand high equity risk premiums, they are likely expecting their future consumption and equity returns to be positively correlated. The positive correlation indicates that equities will exhibit poor hedging properties, as equity returns will be high (e.g., pay off) during "good times" and will be low (e.g., not pay off) during "bad times". In other words, the covariance between risk-averse investors’ inter-temporal rates of substitution and the expected future prices of equities is highly negative, resulting in a positive and large equity risk premium. This is the case because, in good times, when equity returns are high, the marginal value of consumption is low. Similarly, in bad times, when equity returns are low, the marginal value of consumption is high. Holding all else constant, the larger the magnitude of the negative covariance term, the larger the risk premium.

考点: equity risk premium & consumption outcomes

解析:问的是股票收益与实体经济的相关性,两者是正相关的,因为实体经济变好,股票收益率增加。正因为两者正相关,所以在经济下滑时,股票不是很好的对冲经济下滑的工具,所以要使风险厌恶的投资者投资股票,就必须给他们更高的风险补偿。

可以理解这里的正相关指的是经济向好的时候,公司盈利比较多,股价也会上涨,所以equity return 高。

但是不能理解讲义里还提到过:In the time of economic weakness or stress, the equity risjk premium to rise. Equity risk premium也是属于equity return的一部分,但这样看来它并不是positive related with consumption outcome的。请问这里怎么理解?

1 个答案

星星_品职助教 · 2020年02月04日

同学你好,

经济差的时候,如果这个时候去买股票,那么需要补偿很多的premium才愿意去买。

经济很差的时候,手里已经持有的股票会大跌,Equity return会很差。

这是两个不同的角度,彼此之间并不矛盾。

-----------

这道题直接这么去理解更好:不论什么时候买股票,由于股票不能起到对冲消费下滑的作用,消费下滑的时候往往股票也会跌,所以要求的补偿(premium)就多。考察的结论是股票是一个bad consumption hedge。


娟娟考CFA · 2020年02月05日

老师,你好,我在另一个的解答下面看到这题的一个解题思路是:“投资者要求large equity risk premium。承担的risk premium越大,要求的收益补偿就会越高,所以equity return是增加(+)的。经济好的时候,股票收益才会增加。”感觉这里同样的前提下,对应的经济是好是坏结果不同,请解答一下,谢谢

星星_品职助教 · 2020年02月05日

这道题并没有问经济是好是坏,经济是一个辅助变量,核心是equity的return和consumption的关系。直接从bad consumption hedge这个角度出发就可以了,没必要去纠结经济。

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