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周梅 · 2024年10月11日

EQUITY

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ202106160100000101

问题如下：

Using the quotes in Exhibit 1, the amount received by Goldsworthy from converting JPY 225,000,000 will be closest to:

选项：

A.

GBP 1,734,906

B.

GBP 1,735,174

C.

GBP 1,735,442

解释：

A is correct.

Goldsworthy has been given a bid–offer spread. Because she is buying the base currency—in this case, GBP—she must pay the offer price of JPY 129.69 per GBP.

JPY225,000.000129.69  JPY/GBP=GBP1,734,906\frac{JPY225,000.000}{129.69\;JPY/GBP}=GBP1,734,906

考点: Spot rates and forward rates以及bid-offer spread

解析: 题目中说投资者要买GBP，那么就应该使用DEALER关于GBP的卖价做加交易。所以可得

JPY225,000.000129.69  JPY/GBP=GBP1,734,906\frac{JPY225,000.000}{129.69\;JPY/GBP}=GBP1,734,906

The Fed model considers the equity market to be undervalued when the market’s current earnings yield is greater than the 10-year Treasury bond yield. The Yardeni model incorporates the consensus five-year earnings growth rate forecast for the market index, a variable missing in the Fed model.

老师这个的考点是什么

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1 个答案

王园圆_品职助教 · 2024年10月12日

同学你好

Fed model 和Yardeni Model都是非常小的一个知识点，所以讲义里一直没有收录，以下是24年原版书相关内容截图，因为本年的原版书中依然有这部分内容，所以品职依然保留了该知识点，但是考到的概率非常小，同学稍作了解即可

Fed model可以参考第一个截图；Yardeni model可以参考第二个截图

FED假设当股票市场合理定价时，长期（10期，与股票期限匹配）国债市场的收益率应该等于股票市场的收益率。股票市场的收益率我们通常用E/P来表示，当E/P大于10年国债收益率，那么我们认为此时股票市场价格被低估。反之，股票被高估。

Yardeni 模型是基于Gordon growth模型推到出来的旨在用来判断整个股票市场是被高估还是被低估，它并不是股票市场收益率的计算公式。这个模型是假设当股票市场的定价处于合理水平时该等式成立。如果我们把市场上的数据(CEY\CBY..)带入该模型发现等式不成立，那么我们就可以据此做出买入或卖出的建议。


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