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94逢考必过 · 2024年09月20日

GGM下，ERP不是等于Re-Rf么，为什么还要加上风险溢价

  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


GGM下，ERP不是等于Re-Rf么，为什么还要加上风险溢价

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1 个答案

Kiko_品职助教 · 2024年09月20日

嗨，爱思考的PZer你好：


因为题目问的是，“Using Exhibit 1 and Rivera's adjustment, the risk premium……”首先计算 GGM下的股权风险溢价，然后加上Rivera's adjustment, 就是这个分析师考虑到的与 BTP 相关的额外对于小公司风险溢价的调整。

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