问一道题：NO.PZ201512300100000304

问题如下：

An equity index is established in 2001 for a country that has relatively recently established a market economy. The index vendor constructed returns forthe five years prior to 2001 based on the initial group of companies constituting the index in 2001. Over 2004 to 2006 a series of military confrontationsconcerning a disputed border disrupted the economy and financial markets. The dispute is conclusively arbitrated at the end of 2006. In total, ten years ofequity market return history is available as of the beginning of 2007. The geometric mean return relative to 10-year government bond returns over 10years is 2 percent per year. The forward dividend yield on the index is 1 percent. Stock returns over 2004 to 2006 reflect the setbacks but economistspredict the country will be on a path of a 4 percent real GDP growth rate by 2009. Earnings in the public corporate sector are expected to grow at a 5percent per year real growth rate. Consistent with that, the market P/E ratio is expected to grow at 1 percent per year. Although inflation is currently highat 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.

4. A supply side estimate of the equity risk premium as presented by The Ibbotson Chen earnings model is closest to:

选项：

3.2 percent.

4.0 percent.

4.3 percent.

解释：

C is correct.

According to this model, the equity risk premium is

Here: Equity risk premium = {[(1 + EINFL)(1 + EGREPS)(1 + EGPE) − 1.0] + EINC}−Expected risk-free return

EINFL = 4 percent per year (long-term forecast of inflation)

EGREPS = 5 percent per year (growth in real earnings)

EGPE = 1 percent per year (growth in market P/E ratio)

EINC = 1 percent per year (dividend yield or the income portion)

Risk-free return = 7 percent per year (for 10-year maturities)

By substitution, we get:{[(1.04)(1.05)(1.01) − 1.0] + 0.01} − 0.07 = 0.113 − 0.07 = 0.043 or 4.3 percent.