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moon · 2021年11月08日

risk premium approach to equity return 

  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 。

课上老师说equity premiun=expected return on equity - （无风险利率+term premium），为什么这里没有加term premium
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1 个答案

源_品职助教 · 2021年11月09日

嗨，爱思考的PZer你好：



因为表格中第一列的抬头都是10年，这就说明投资期是相等的，那就没有了所谓的期限风险。

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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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