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闫旭 · 2024年01月22日

如果用未来法，最后减的Rf，为什么是用0.96%？

  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%.

如果用未来法，公式里最后要减一个Rf，为什么是用0.96%这个值，讲义里没提到要用current yield？

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1 个答案

王琛_品职助教 · 2024年01月23日

嗨，爱思考的PZer你好：


1

首先，因为表格中并没有提供其他更符合的数据，所以只能使用 0.96%

2

其次，关于 GK Model，其实考查的重点并不在 rf，而是在于 Rm 的推导

一般情况下，都会直接告诉我们 rf，不会在 rf 这里再设陷阱

所以直接代入公式即可，因为公式本身已经足够复杂了

3

另外，其实讲义也有提到哈

也请参考基础班讲义墨迹版 P173

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