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黄路迦 · 2023年03月01日

如下

  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.

rm市场收益率，因为战争因素，市场风险增加，所以对rm的要求回报率上升，所以rm不是应该增加才对吗

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1 个答案

王琛_品职助教 · 2023年03月02日

嗨，努力学习的PZer你好：


1

题目只是问 ERP，是 Rm - rf

Rm 统计的是市场的收益，比如所有上市公司的平均收益，这里不考虑风险

如果考虑风险，就不是 ERP 了，而是 cost of equity 了，可以在 ERP 之后，再加入比如因为战争所带来的风险

相当于在该国投资，相比于在其他没有战争的国家投资，要多一个涉及到战争的风险溢价

2

关于战争期间的 Rm，其实是下降的

咱不说战争，就说疫情吧

同学可以回忆一下，有的地方封城数月，老百姓都封在家里，整个城市街道都空无一人

疫情期间整个市场的收益是如何，同学应该感同身受哈

这里的关键是，区分 ERP 和要求回报率，后者会考虑多个风险溢价，比如战争等

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努力的时光都是限量版，加油！

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