NO.PZ202210140200000103
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
bias long-term required return on equity estimates downward
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.
1、为何收益率曲线是倒挂的，短期收益率会高于长期收益率，题干中哪里有写
2、在收益率曲线倒挂前提下，CAPM模型中第一个Rf是高估了，ERP相应低估是吗