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he123456 · 2020年10月19日

问一道题: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

看到题目问的是historical的,但是表格第一列给的10年的数据里,第一个average government bond yield 2.8%可以认为是10年的吗?难道不会是短期国债利率?第二列current写的就比较明确,是10-year government bond yield

1 个答案

源_品职助教 · 2020年10月20日

嗨,努力学习的PZer你好:


因为咱们第一列表头写了,“HISTORICAL”的字样,所以这里数据可以代表历史的。  2.8% 也可以认为是过去10年的历史平均。

这里到不是短期国债,因为求溢价的时候,要做到股票和债券的期限是相等匹配的。而表头的10年就已经帮我们匹配好了。

这里咱们原版书也是这么表达的。


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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