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尚好的青春 · 2023年12月18日

长期bond rate应该已经包含了部分illiquidity premium吧？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000063

问题如下：

Minglu Li is an analyst for REDD and specializes in the consumer credit industry. Last year (2012), Li and her team gathered data to determine the expected return for the industry, shown in Exhibit 1.


After considering a number of approaches, Li and her team decided to use the bond-yield-plus-risk-premium method. Based on Exhibit 1 and the method used by Li's team, the expected return for the consumer credit industry in 2012 was closest to:

选项：

A.12.4%

B.12.2%

C.12.8%

解释：

Correct Answer: B

The bond-yield-plus-risk-premium method sets the expected return to the yield to maturity on along-term government bond plus the equity risk premium (12.2% = 3.8% + 8.4%).

中文解析：

债券收益+风险溢价法是指长期政府债券到期时的预期收益率加上股票风险溢价(12.2% = 3.8% + 8.4%)。

公司债rate+除了equity premium以外的溢价风险是不是也能行？感觉应该有好几种算法，考试的时候不知道一会不会纠结就选了错误的数字计算

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1 个答案

源_品职助教 · 2023年12月18日

嗨，努力学习的PZer你好：


equity risk premium 其实是包涵了，股票比债券要多出来的所有风险。

它其实包含了流动性风险，信用风险等等。

如果题目给了equity risk premium ，那么其实用债券收益直接加上这个风险就行了。

如果题目没有给到equity risk premium ，那么再在题目里逐步找对应的风险选项。

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