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大鱼 · 2020年10月29日

问一道题:NO.PZ2018091705000046 [ CFA III ]

问题如下:

Is it appropriate to use the expected return of the assets used to fund their spending needs when calculating the capitalized value of the core capital spending needs? Why or why not?

解释:

It is not appropriate to use the expected return of the assets used to fund spending needs to calculate the capitalized value of the core capital needs, because the risk of the spending needs is unrelated to the risk of the investment portfolio used to fund those needs.

Although the annual spending cash flows are not riskless, a risk-free rate should be used to calculate the present value of the cash flows as their uncertainty is unrelated to market risk factors that would be priced in a normal asset pricing model, making their beta equal to zero.

请问折现率为啥不用minimal acceptable rate of return. 有点不太清楚,谢谢!

1 个答案

王暄_品职助教 · 2020年10月30日

嗨,努力学习的PZer你好:


本题提到得是不能够用expected return of the assets,并不是minimal acceptable return哦

之所以不能用expected return of the assets是因为影响资产回报率的风险和spending need是无关的,换言之,spending needs的波动率和资产回报率的风险无关。所以不可以用expected rate of return

我们这里应该使用risk-free rate


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