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我叫仙人涨 · 2019年12月28日

问一道题:NO.PZ201512300100000305

* 问题详情,请 查看题干

问题如下:

5. Common stock issues in the above market with average systematic risk are most likely to have required rates of return:

选项:

A.

between 2 percent and 7 percent.

B.

between 7 and 9 percent.

C.

9 percent or greater.

解释:

C is correct.

Based on a long-term government bond yield of 7 percent, a beta of 1, and any of the risk premium estimates that can be calculatedfrom the givens (e.g., a 2 percent historical risk premium estimate or 4.3 percent supply side equity risk premium estimate), the required rate ofreturn would be at least 9 percent. Based on using a short-term rate of 9 percent, C is the correct choice.

老师,re的式子里面假设beta和 rm-rf 总是大于0的是么?


长期的可以算出来re=9%

但是短期的rf= 9% , 但是erp不知道,beta也不知道,答案就说beta = 1, 然后短期的re 也是 > 9%。

1 个答案

maggie_品职助教 · 2019年12月30日

请看题干:average systematic risk,可以理解为该股票的系统性风险等于平均(大盘)的系统性风险,因此贝塔等于1.

我叫仙人涨 · 2019年12月30日

rm-rf 总是大于0的是么?

maggie_品职助教 · 2019年12月30日

这里并不需要做这样的假设,因为ERP的数字可以计算得到。

我叫仙人涨 · 2019年12月30日

长期的知道erp知道,但是短期的erp怎么算出来?

maggie_品职助教 · 2020年01月03日

这里并不存在什么长期还是短期的ERP,我们在课堂上只讲了两种计算ERP的方法即历史估计法和Forward-looking Estimates。而股票投资都是长期的投资,这个ERP是投资者投资股票所承担风险的补偿。

我叫仙人涨 · 2020年01月03日

哦哦,所以只考虑长期就好了呀!

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