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要紧雅冠 · 2022年11月14日

market risk primium 不是RM-RF吗

  1. CFA I
  2. Portfolio

NO.PZ2018070201000101

问题如下：

According to the capital asset pricing model, what is the relationship between the market risk premium and the excess market return?

选项：

A.

Market risk premium is less than the excess market return.

B.

Market risk premium equals to the excess market return.

C.

Market risk premium is higher than the excess market return.

解释：

B is correct.

With regard to the capital asset pricing model, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.

如题，primiun要减去一个Rf,和Rm相比不是肯定要少一些吗？为啥A不对呢

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1 个答案

pzqa27 · 2022年11月14日

嗨，从没放弃的小努力你好：


请注意这里题目描述的是excess market return，这个指的就是Rm-Rf

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NO.PZ2018070201000101问题如下Accorng to the capitasset pricing mol, whis the relationship between the market risk premium anthe excess market return?A.Market risk premium is less ththe excess market return.B.Market risk premium equals to the excess market return.C.Market risk premium is higher ththe excess market return.B is correct.With regarto the capitasset pricing mol, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.“Excess market return”否改为 market excess return （如讲义）更严谨？前者描述容易引起误解。

2024-09-07 07:18 1 · 回答

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2023-08-29 14:55 1 · 回答

NO.PZ2018070201000101 Market risk premium equals to the excess market return. Market risk premium is higher ththe excess market return. B is correct. With regarto the capitasset pricing mol, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.Excess return 不是阿尔法吗？

2022-01-13 20:52 1 · 回答

老师问下这道题 为什么不选A 感觉market risk premium还要乘上beta 才能算是excess return beta通常小于1

2020-03-14 15:31 2 · 回答