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PaisleyPPx · 2019年12月01日

问一道题：NO.PZ2018070201000101

  1. CFA I
  2. Portfolio

问题如下：

According to the capital asset pricing model, what is the relationship between the market risk premium and the excess market return?

选项：

A.

Market risk premium is less than the excess market return.

B.

Market risk premium equals to the excess market return.

C.

Market risk premium is higher than the excess market return.

解释：

B is correct.

With regard to the capital asset pricing model, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.

老师 可以解释一下这道题目吗

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1 个答案

星星_品职助教 · 2019年12月01日

同学你好，

这道题要求的是excess“market” return，也就是要求的是market return（Rm）超过CAPM模型中的benchmark（也就是rf）的值。可以看出这个其实就是CAPM里的“Rm-Rf”，也就是market risk premium。所以两个描述的是同一个东西，加油。

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NO.PZ2018070201000101问题如下Accorng to the capitasset pricing mol, whis the relationship between the market risk premium anthe excess market return?A.Market risk premium is less ththe excess market return.B.Market risk premium equals to the excess market return.C.Market risk premium is higher ththe excess market return.B is correct.With regarto the capitasset pricing mol, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.“Excess market return”否改为 market excess return （如讲义）更严谨？前者描述容易引起误解。

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NO.PZ2018070201000101 Market risk premium equals to the excess market return. Market risk premium is higher ththe excess market return. B is correct. With regarto the capitasset pricing mol, the market risk premium equals to the market return minus the risk-free rate, i.e. the the return in excess of the market return.Excess return 不是阿尔法吗？

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