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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

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

1 个答案
已采纳答案

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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