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MiaChen · 2021年05月06日

Historical equity returns=historical 10-year government bond yield + Historical equity risk premium

  1. CFA III
  2. Capital Market Expectations

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 。

请问这个公式在哪里找到？

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源_品职助教 · 2021年05月07日

嗨，努力学习的PZer你好：


这只是一个原理，并不是公式，

因为Historical equity risk premium定义就是股票收益高于债券收益的部分。

那我现在用债券收益+Historical equity risk premium，带到的自然就是股票的收益。

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