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哦哦 · 2022年04月15日

官网题:为什么算fully integrated的时候不是用7%*0.85*0.31,不用GIM的 SD 吗?

To assess the attractiveness of emerging market equities, Fiske suggests that they use the data in Exhibit 2 and determine the expected return of small-cap emerging market equities using the Singer–Terhaar approach.


Using the data in Exhibit 2 and Fiske’s suggested approach, the forecast of the expected return for small-cap emerging market equities is closest to:

  1. 8.9%.
  2. 9.9%.
  3. 9.5%.


答案:C is correct. The Singer and Terhaar approach for determining the expected return on an asset class involves determining the risk premium arising from systematic risk as a weighted average of the risk premiums arising from a fully integrated market and fully segmented market, where the weights for the fully integrated market is the degree of integration of the markets.

  • The risk premium for the fully integrated market is given by:
  • RPi = σiρi,M(RPMM) where (RPMM) is the Sharpe ratio for the world market portfolio
  • The risk premium for the fully segmented market is given by: RPi = σi(RPMM)
  • In addition, if there are market imperfections such as illiquidity premiums, they must be added in
  • Finally, the expected return on the asset class is determined by adding these risk premiums to the risk-free rate, in the classical CAPM fashion.

Step 1Systematic risk premium in fully integrated market

Risk Premium: RPi = σiρi,M(RPMM)

 = [23% × 0.85 × 0.31]

 = 6.06%

Step 2Systematic risk premium in fully segmented market

Risk Premium: RPi = σi(RPMM)

 = [23% × 0.31]

 = 7.13%

Step 3Weight systematic risk premiums by degree of integration:

0.65 × 6.06 + 0.35 × 7.13 = 6.43%

Step 4Add the illiquidity premium

6.43% + 0.60% = 7.03%

Step 5Add the risk-free rate:

2.5% + 7.03% = 9.53%



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笛子_品职助教 · 2022年04月16日

嗨,从没放弃的小努力你好:


官网题:为什么算fully integrated的时候不是用7%*0.85*0.31,不用GIM的 SD 吗?


因为基础讲义151页是这么写的:


Full intergration:相关系数 * 本国标准差 * 全球夏普比率。基础讲义中的公式里,并没有使用GIM的SD。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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