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Pavel Korchagin · 2024年05月05日

这里为什么rf要-4不是-2.75

  1. CFA II
  2. Corporate Issuers

NO.PZ2023040402000022

问题如下：

Jose Rivera estimates the forward-looking equity risk premium using the Gordon growth model (GGM). Rivera adds 1.50% to the risk premium he has computed to account for the additional small firm risk premium associated with BTP.


Using Exhibit 1 and Rivera's adjustment, the risk premium for BTP stock according to the Gordon growth model is closest to:

选项：

A.

5.77%.

B.

5.61%.

C.

7.02%.

解释：

First compute the GGM equity risk premium and then add Rivera’s adjustment for small firm risk premium. Computations are as follows:

GGM equity risk premium estimate = Dividend yield on the index based on year-ahead aggregate forecasted dividends and aggregate market value + Consensus long-term earnings growth rate ̶ Current long-term government bond yield


因为用的是GGM？

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1 个答案

王琛_品职助教 · 2024年05月06日

嗨，努力学习的PZer你好：


是的，因为 GGM 的假设是永续增长，所以使用长期国债更合适

也请参考基础班讲义墨迹版 P173

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