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Lillly · 2020年04月26日

Cfa L2/ R25/ 课后习题#9

hello,


在看完书上的答案以后我还是很不理解我个题目的解释。请问老师可以解释一下吗?像是这里是应该使用capm model 还是 那个macro model呢?


题目:

Although inflation is currently high at 6 percent per year, the long- term forecast is for an inflation rate of 4 percent per year. Although the yield curve has usually been upward sloping, currently the government yield curve is inverted; at the short-end, yields are 9 percent and at 10-year maturities, yields are 7 percent.


问题:

In the current interest rate environment, using a required return estimate based on the short-term government bond rate and a historical equity risk premium defined in terms of a short-term government bond rate would be expected to:

  1. bias long-term required return on equity estimates upwards.
  2. bias long-term required return on equity estimates downwards.
  3. have no effect on long-term required return on equity estimates.


答案:

A is correct. The required return reflects the magnitude of the historical equity risk premium, 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 upwards.


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maggie_品职助教 · 2020年04月26日

嗨,从没放弃的小努力你好:


1、CAPM。这道题让你估计的是re, 而macro model计算的是ERP

2、本题要我们基于当前短期国债利率和历史股本风险溢价来估计股东的要求回报率:

1)收益率的公式:re=rf+beta(rm-rf) 可以看出收益率由两个部分组成

2)第一部分:无风险利率题干要我们基于当前短期利率,当前的短期利率是大于长期利率的(current yield curve is inverted收益率曲线向下倾斜),因此第一项比较大

3)第二部分:ERP中的无风险利率题目让我们用历史上的短期利率来估计,历史的收益率曲线shi形状说明它是向上倾斜(短期低,长期高),因此历史上的短期利率比较小,那么ERP=RM-RF就比较大。因此第二项也比较大。

4)两项都大,那么计算得到的re也就偏高。这就是解析在说的事情。


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努力的时光都是限量版,加油!


Lillly · 2020年05月11日

十分谢谢maggie~

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