开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

shero · 2024年07月04日

短期利率高，减去一个高的数，不应该是下降的吗

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202304040200002301

问题如下：

In the current interest rate environment, using a required return on equity estimate based on the short-term government bond rate and a historical ERP defined in terms of a short-term government bond rate would be expected to:

选项：

A.

bias long-term required return on equity estimates upward.

B.

bias long-term required return on equity estimates downward.

C.

have no effect on long-term required return on equity estimates.

解释：

A is correct. The required return reflects the magnitude of the historical ERP, which is generally higher when based on a short-term interest rate (as a result of the normal upward-sloping yield curve), and the current value of the rate being used to represent the risk-free rate. The short-term rate is currently higher than the long-term rate, which will also increase the required return estimate. The short-term interest rate, however, overstates the long-term expected inflation rate. Using the short-term interest rate, estimates of the long-term required return on equity will be biased upward.

短期利率高，减去一个高的数，不应该是下降的吗

添加评论
1 个答案

王琛_品职助教 · 2024年07月05日

嗨，爱思考的PZer你好：


不是哦，咱们一共要分析两个短期利率对 Re 的影响

这道题我之前刚好详细总结过，同学可以先参考一下：https://class.pzacademy.com/qa/164446

如果同学还有疑问，可以追问或者评论，我再回答同学的后续问题哈

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 170

    浏览
相关问题

NO.PZ202304040200002301 问题如下 In the current interest rate environment, using a requirereturn on equity estimate baseon the short-term government bonrate ana historicERP finein terms of a short-term government bonrate woulexpecteto: A.bilong-term requirereturn on equity estimates upwar B.bilong-term requirereturn on equity estimates wnwar C.have no effeon long-term requirereturn on equity estimates. A is correct. The requirereturn reflects the magnitu of the historicERP, whiis generally higher when baseon a short-term interest rate (a result of the normupwarsloping yielcurve), anthe current value of the rate being useto represent the risk-free rate. The short-term rate is currently higher ththe long-term rate, whiwill also increase the requirereturn estimate. The short-term interest rate, however, overstates the long-term expecteinflation rate. Using the short-term interest rate, estimates of the long-term requirereturn on equity will biaseupwar historical默认就是短期利率 长期利率吗？还是说题目里面哪个地方提到了？

2024-08-08 16:02 1 · 回答

NO.PZ202304040200002301 问题如下 In the current interest rate environment, using a requirereturn on equity estimate baseon the short-term government bonrate ana historicERP finein terms of a short-term government bonrate woulexpecteto: A.bilong-term requirereturn on equity estimates upwar B.bilong-term requirereturn on equity estimates wnwar C.have no effeon long-term requirereturn on equity estimates. A is correct. The requirereturn reflects the magnitu of the historicERP, whiis generally higher when baseon a short-term interest rate (a result of the normupwarsloping yielcurve), anthe current value of the rate being useto represent the risk-free rate. The short-term rate is currently higher ththe long-term rate, whiwill also increase the requirereturn estimate. The short-term interest rate, however, overstates the long-term expecteinflation rate. Using the short-term interest rate, estimates of the long-term requirereturn on equity will biaseupwar ERP = RM - rf。在正常的upwarsloping yielcurve下，短期利率小于长期利率，用短期利率带入公式计算会导致ERP偏高。为什么这道题短期利率高于长期利率，也会导致\"The short-term rate is currently higher ththe long-term rate, whiwill also increase the requirereturn estimate\"

2024-06-07 20:46 1 · 回答

NO.PZ202304040200002301 问题如下 In the current interest rate environment, using a requirereturn on equity estimate baseon the short-term government bonrate ana historicERP finein terms of a short-term government bonrate woulexpecteto: A.bilong-term requirereturn on equity estimates upwar B.bilong-term requirereturn on equity estimates wnwar C.have no effeon long-term requirereturn on equity estimates. A is correct. The requirereturn reflects the magnitu of the historicERP, whiis generally higher when baseon a short-term interest rate (a result of the normupwarsloping yielcurve), anthe current value of the rate being useto represent the risk-free rate. The short-term rate is currently higher ththe long-term rate, whiwill also increase the requirereturn estimate. The short-term interest rate, however, overstates the long-term expecteinflation rate. Using the short-term interest rate, estimates of the long-term requirereturn on equity will biaseupwar 这道题算re=rf + β（rm-rf），因为算的是股市的re，因而β=0，所以re=rm，rf被抵消了，所以这道题为啥不选C？

2024-05-08 15:42 1 · 回答

NO.PZ202304040200002301 问题如下 In the current interest rate environment, using a requirereturn on equity estimate baseon the short-term government bonrate ana historicERP finein terms of a short-term government bonrate woulexpecteto: A.bilong-term requirereturn on equity estimates upwar B.bilong-term requirereturn on equity estimates wnwar C.have no effeon long-term requirereturn on equity estimates. A is correct. The requirereturn reflects the magnitu of the historicERP, whiis generally higher when baseon a short-term interest rate (a result of the normupwarsloping yielcurve), anthe current value of the rate being useto represent the risk-free rate. The short-term rate is currently higher ththe long-term rate, whiwill also increase the requirereturn estimate. The short-term interest rate, however, overstates the long-term expecteinflation rate. Using the short-term interest rate, estimates of the long-term requirereturn on equity will biaseupwar 1、为什么这道题让计算的是capm，而不是erp？2、为什么第一个无风险利率用7%？CURRENT YIELCURVE是无风险利率的意思吗？3、为什么第二个无风险利率不能用7%？

2023-09-16 17:52 1 · 回答