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台风来了 · 2023年06月15日

计算ERP不是用公式 ERP = DY + delta(P/E) +i +g +delta(S) - rf 吗？

  1. CFA II
  2. Corporate Issuers

NO.PZ2022101402000008

问题如下：

An analyst is estimating a historical ERP for a market based on the following information.


The historical ERP is closest to:

选项：

A.

3.15%

B.

6.81%

C.

9.96%

解释：

B is correct.

The ERP using the historical approach is calculated as the mean value of the difference between a broad-based equity market index return and a government debt return. Therefore, the ERP using the historical approach is calculated as 9.96% – 3.15% = 6.81%.

计算ERP不是用公式 ERP = DY + delta(P/E) +i +g +delta(S) - rf 吗？代入公式，得到ERP = 4.24%。 为什么这里是两个数直接相减呢？

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1 个答案

王琛_品职助教 · 2023年06月16日

嗨，爱思考的PZer你好：


1

同学好，关于 ERP 的计算，咱们介绍了两大类方法：历史估计法和未来估计法

题目要考查的是历史估计法 "The historical ERP is closest to"

而同学所使用的是未来估计法中的 GK Model 哈

这是两个完全不同的方法

2

也请参考原版书 P263

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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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