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ruby5ltc · 2023年09月16日

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  1. CFA II
  2. Corporate Issuers

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NO.PZ202304040200002301

问题如下：

In the current interest rate environment, using a required return on equity estimate based on the short-term government bond rate and a historical ERP defined in terms of a short-term government bond rate would be expected to:

选项：

A.

bias long-term required return on equity estimates upward.

B.

bias long-term required return on equity estimates downward.

C.

have no effect on long-term required return on equity estimates.

解释：

A is correct. The required return reflects the magnitude of the historical ERP, which is generally higher when based on a short-term interest rate (as a result of the normal upward-sloping yield curve), and the current value of the rate being used to represent the risk-free rate. The short-term rate is currently higher than the long-term rate, which will also increase the required return estimate. The short-term interest rate, however, overstates the long-term expected inflation rate. Using the short-term interest rate, estimates of the long-term required return on equity will be biased upward.

1、为什么这道题让计算的是capm，而不是erp？

2、为什么第一个无风险利率用7%？CURRENT YIELD CURVE是无风险利率的意思吗？

3、为什么第二个无风险利率不能用7%？

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1 个答案

王琛_品职助教 · 2023年09月18日

嗨，努力学习的PZer你好：


1）为什么这道题让计算的是capm，而不是erp？

主要是取决于题目的问法哈

关键词是 using a required return on equity estimate based on

其中，核心是 required return on equity，即题目考查的主体是 re

estimate based on 后面跟着的，是计算 re 的方法

通过后文的描述，其实是用文字的形式，来表达 CAPM 的公式

所以这道题最终考查的是 CAPM；而对于 ERP 的分析，只是其中的一部分

2）为什么第一个无风险利率用7%？CURRENT YIELD CURVE是无风险利率的意思吗？

第一个无风险利率，使用的是当前的利率

CURRENT YIELD CURVE 是指当前的收益率曲线

yield curve 的横轴是时间，纵轴是利率

upward-sloping 意味着短期利率，小于长期利率，是正常情况

就好比现在中国的银行定期存款，1年利率，低于5年利率

如果加了 inversion，则说明是反过来的

即，短期利率，高于了长期利率

题目中的意思是说，第一个 rf 如果使用当前的短期利率，那么相比于长期利率，对 re 的影响是怎样

因为当前的短期利率（9%），大于长期利率（7%），所以仅考虑第一个 rf 对 re 的影响，是高估的

3）为什么第二个无风险利率不能用7%？

由两个原因，一是题目的要求

参考题干表述：a historical ERP defined in terms of a short-term government bond rate

计算 ERP，使用的是历史估计法，本来 rf 的选择是可长可短，取决于分析师的判断

但是现在题目明确要求了，是使用短期利率

因为历史长期的表现都是正常的数据，所以一般情况下，都是短期利率小于长期利率

所以使用较小的短期利率，会得到较大的 ERP

第二个原因，过去历史的短期利率，题目并没有告诉我们，我们只知道当前的短期利率

所以，仅考虑 ERP 对 re 的影响，是高估的

最终，综合考虑第一个 rf，以及 ERP 对 re 的影响，才得到结论是高估的

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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