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Pina · 2020年08月24日

问一道题:NO.PZ2018103102000003

问题如下:

At the time of purchase, Jacques used CAPM to estimate a required return for PZ by incorporating an unadjusted historical equity risk premium estimate for the US equity market. However, the US equity market has experienced a meaningful string of favorable inflation and productivity surprises for past several years. In order to mitigate that concern, the historical equity risk premium Jacques used as an estimate of the forward-looking equity risk premium should be:

选项:

A.

adjusted upward

B.

adjusted downward

C.

left unchanged

解释:

B is correct.

考点:Equity risk premium

解析:B是正确的。一系列有利的通胀和经济增长的惊喜可能会带来一系列高回报,从而提高股票风险溢价的历史平均估值。为了计算得到合理的要求回报率,分析师应下调历史的股票风险溢价。

老师好,what is a favorable inflation? 是越低越好吗? 如果越低越好,那用macroeconomic model, ERP 会低于是re 会低,会高估,然后要下调。是吗?谢谢

1 个答案
已采纳答案

maggie_品职助教 · 2020年08月25日

嗨,爱思考的PZer你好:


1、千万不要一看到通胀就联想到公关经济模型,注意审题哦这道题是让你用历史的ERP去估计未来的ERP

2、注意 US equity market has experienced a meaningful string of favorable inflation and productivity surprises for past several years.这是在说过去几年,美国股市经历了一连串有利的通胀。而不是未来,所以你不能带到未来的模型中去

3、上面这句英文在本题中只是想表达过去经济形势好,所以市场回报高,这样历史的EPR就会比较高,你用这样高的ERP来估计未来的ERP是不准确的,应该向下调整。


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!


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