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ruby5ltc · 2023年09月16日

是否CAPM的第一个无风险利率也用短期？

  1. CFA II
  2. Corporate Issuers

NO.PZ2023040402000024

问题如下：

After considering these alternative methods, Hughes selects the Fama–French model as his preferred method. His first determination is for Western Plains Rail (WPR), using the data presented in Exhibit 1.


Using the data in Exhibit 1 and Hughes’ preferred method, the required return on equity for Western Plains Rail is closest to:

选项：

A.

6.6%.

B.

6.3%.

C.

9.2%.

解释：

The Fama–French model estimate for return on equity is calculated using the formula

FFM: re = 1.2% + 1.3 × (5.2%) – 0.2 × (2.0%) – 0.3 × (4.3%)

= 1.2% + 6.76% – 0.40% – 1.29%

= 6.27% ≈ 6.30%

是否CAPM的第一个无风险利率也用短期？

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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：


是的，Risk-based model，比如 CAPM 或者 FFM，第一个 rf，使用的都是「短期」国债的收益率哈

原理解释，也请参考：https://class.pzacademy.com/qa/122959

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

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NO.PZ2023040402000024问题如下 After consiring these alternative metho, Hughes selects the Fama–Frenmol his preferremetho His first termination is for Western Plains Rail (WPR), using the ta presentein Exhibit 1.Using the ta in Exhibit 1 anHughes’ preferremetho the requirereturn on equity for Western Plains Rail is closest to: A.6.6%.B.6.3%.C.9.2%. The Fama–Frenmol estimate for return on equity is calculateusing the formulaFFM: re = 1.2% + 1.3 × (5.2%) – 0.2 × (2.0%) – 0.3 × (4.3%) = 1.2% + 6.76% – 0.40% – 1.29% = 6.27% ≈ 6.30% 能否总结一下不同模型中使用的factor有哪些？

2024-04-09 23:11 1 · 回答

NO.PZ2023040402000024 问题如下 After consiring these alternative metho, Hughes selects the Fama–Frenmol his preferremetho His first termination is for Western Plains Rail (WPR), using the ta presentein Exhibit 1.Using the ta in Exhibit 1 anHughes’ preferremetho the requirereturn on equity for Western Plains Rail is closest to: A.6.6%. B.6.3%. C.9.2%. The Fama–Frenmol estimate for return on equity is calculateusing the formulaFFM: re = 1.2% + 1.3 × (5.2%) – 0.2 × (2.0%) – 0.3 × (4.3%) = 1.2% + 6.76% – 0.40% – 1.29% = 6.27% ≈ 6.30% 请问非上市公司计算re，expanCAPM和builp approach中的rf 都要求用长期国债来匹配期限，对吗？只有risk-basemol，（其中包括单因子CAPM、famafrench3、5因子模型）由于计算公式有β，要做回归，所以需要用短期国债 T-bill 的rf，对吗？

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NO.PZ2023040402000024问题如下 After consiring these alternative metho, Hughes selects the Fama–Frenmol his preferremetho His first termination is for Western Plains Rail (WPR), using the ta presentein Exhibit 1.Using the ta in Exhibit 1 anHughes’ preferremetho the requirereturn on equity for Western Plains Rail is closest to: A.6.6%.B.6.3%.C.9.2%. The Fama–Frenmol estimate for return on equity is calculateusing the formulaFFM: re = 1.2% + 1.3 × (5.2%) – 0.2 × (2.0%) – 0.3 × (4.3%) = 1.2% + 6.76% – 0.40% – 1.29% = 6.27% ≈ 6.30% 为什么不加流动性风险？

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