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dognmnm · 2023年02月06日

考虑term 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 。

这里需要考虑term premium? 题目如果有, 也需要扣掉吗?

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1 个答案

笛子_品职助教 · 2023年05月25日

嗨，爱思考的PZer你好：


这个问题涉及equity premium的定义。

书上给了两个定义，两个都算对。

一个是股票收益与T-bill的差距。一个是股票收益与长期国债的差距。

这两个定义就差了一个term premium。

 

因为这两个定义都算对，因此大部分时候，不会出现，又给了T -bill，又给了term premium的题目。

一般要不只给T-bill，不给term premium。要不就直接给bond 收益率。给哪些已知条件，就用哪种定义。

 

当然，如果在计算的时候，题目明确equity premium是“equity versus bonds premium ”这种形式，那么需要减去term premium。

因为题目明确采用第二种定义。

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