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双 · 2023年02月22日

这道题没看懂，能解释下吗？

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202210140200000102

问题如下：

The events of 2012 to 2016 would be expected to:

选项：

A.

bias the historical ERP estimate upward

B.

bias the historical ERP estimate downward

C.

have no effect on the historical ERP estimate

解释：

B is correct. The events of Year 12 through Year 16 depressed share returns but (1) are not a persistent feature of the stock market environment, (2) were not offset by other positive events within the historical record, and (3) have led to relatively low valuation levels, which are expected to rebound.

这道题没看懂，能解释下吗？

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1 个答案

王琛_品职助教 · 2023年02月23日

嗨，努力学习的PZer你好：


1

题目问：从第 12 年到第 16 年的事件，将会使历史估计法计算的 ERP 高估还是低估？

考点是使用历史估计法计算 ERP，因为选项中的关键词是 historical ERP

2

回到题干背景，从第 12 年到第 16 年，这个国家发生了一系列的边境冲突

"From Year 12 to Year 16, a series of military confrontations concerning a disputed border ..."

那么国家在打仗，投资者关注的都是生存第一；再加上连年战争，影响了企业正常的经营，所以股票市场收益会下降

题干背景也有提示 "disrupted the economy and financial markets"

3

相当于第 12 年到第 16 年的 Rm 都不是和平时期的水平，都变低了

所以 Rm - rf 变低，即使用历史估计法计算的 ERP 是低估，所以选择 B 低估  

4

关于历史估计法计算 ERP 的原理，也请参考基础班讲义墨迹版 P126

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努力的时光都是限量版，加油！

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