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qyang · 2021年03月31日

market risk factors that would be priced in a normal asset pricing model, making their beta equal to zero???

  1. CFA III
  2. 个人IPS

NO.PZ2018091705000046

问题如下：

Is it appropriate to use the expected return of the assets used to fund their spending needs when calculating the capitalized value of the core capital spending needs? Why or why not?

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解释：

It is not appropriate to use the expected return of the assets used to fund spending needs to calculate the capitalized value of the core capital needs, because the risk of the spending needs is unrelated to the risk of the investment portfolio used to fund those needs.

Although the annual spending cash flows are not riskless, a risk-free rate should be used to calculate the present value of the cash flows as their uncertainty is unrelated to market risk factors that would be priced in a normal asset pricing model, making their beta equal to zero.

Could you help me understand this sentence "market risk factors that would be priced in a normal asset pricing model, making their beta equal to zero"?

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王暄_品职助教 · 2021年03月31日

This is the implying of the sentence than you don’t understand 【Risk free rate which could be priced by some pricing model, and it’s actually the rate that have no relationship with the market, that’s why the beta is zero】The following is the explanation of the question 【Since spending needs is not correlated with anything of the market which makes the beta of the spending needs could be zero. Even though there is volatility of the spending need, but it is more affected by individual’s behavior like saving habit/spending habit than the market. So it is appropriate to use risk free rate to discount the spending needs rather than expected return 】

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