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石欣灵 · 2023年05月25日

这道题怎么理解,答案选B

Bader then uses the Singer–Terhaar model and the final shrinkage-estimated VCV matrix to determine the equilibrium expected equity returns for all international asset classes by country. Three of the markets under consideration are located in Country A (developed market), Country B (emerging market), and Country C (emerging market). Bader projects that in relation to the global market, the equity market in Country A will remain highly integrated, the equity market in Country B will become more segmented, and the equity market in Country C will become more fully integrated.


Q. Based on expectations for changes in integration with the global market, all else being equal, the Singer–Terhaar model implies that Bader should shift capital from Country A to:

  1. only Country B.
  2. only Country C.
  3. both Countries B and C.


解答:Bader expects the equity market in Country C (an emerging market) to become more fully integrated with the global market while Country A (a developed market) remains highly integrated. All else being equal, the Singer–Terhaar model implies that when a market becomes more globally integrated (segmented), its required return should decline (rise). As prices adjust to a lower (higher) required return, the market should deliver an even higher (lower) return than was previously expected or required by the market. Therefore, the allocation to markets that are moving toward integration should be increased. If a market is moving toward integration, its increased allocation will come at the expense of markets that are already highly integrated. This will typically entail a shift from developed markets to emerging markets.


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源_品职助教 · 2023年05月25日

嗨,爱思考的PZer你好:



Country C 当前的状态是分割市场。但是题目告诉我们它将变得越来越整合,

因为它整合了,所以风险就低了,风险溢价也低了。

所以它的折现率会越来越低,资产价格越来越高。所以要投C国。

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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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