NO.PZ202206070100000504
问题如下：
Using the data in Exhibit 2 and Fiske’s suggested approach, the forecast of the expected return for small-cap emerging market equities is closest to:
选项：
A.8.9%. B.9.9%. C.9.5%.解释：
Solution
C is correct. The Singer and Terhaar approach for determining the expected return on an asset class involves determining the risk premium arising from systematic risk as a weighted average of the risk premiums arising from a fully integrated market and fully segmented market, where the weights for the fully integrated market is the degree of integration of the markets.
The risk premium for the fully integrated market is given by:RPi = σiρi,M(RPM/σM) where (RPM/σM) is the Sharpe ratio for the world market portfolio
The risk premium for the fully segmented market is given by: RPi = σi(RPM/σM)
In addition, if there are market imperfections such as illiquidity premiums, they must be added in
Finally, the expected return on the asset class is determined by adding these risk premiums to the risk-free rate, in the classical CAPM fashion.
-
Systematic risk premium in fully integrated market
Risk Premium: RPi = σiρi,M(RPM/σM)
= [23% × 0.85 × 0.31]
= 6.06%
-
Systematic risk premium in fully segmented market
Risk Premium: RPi = σi(RPM/σM)
= [23% × 0.31]
= 7.13%
Weight systematic risk premiums by degree of integration:0.65 × 6.06 + 0.35 × 7.13 = 6.43%
Add the illiquidity premium6.43% + 0.60% = 7.03%
Add the risk-free rate:2.5% + 7.03% = 9.53%
Singer–Terhaar approach 在基础班并没有讲？
