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· 2021年04月07日

为什么不是用Rm-Rf的公式呢?

NO.PZ2015121801000137

问题如下:

An analyst observes the following historic geometric returns:

The risk premium for equities is closest to:

选项:

A.

5.4%.

B.

5.5%.

C.

5.6%.

解释:

A is correct. (1 + 0.080)/(1 + 0.0250) – 1 = 5.4%

这里equity的Rm不是等于8%,然后Rf就是treasury bill2.5%?

然后两者相减为5.5%。


答案里面用长得像费雪公式算出来的是啥?

如果要算real return要除以的也应该是inflation rate


答案里面这种解法就好像杂糅了两个公式一样,不知道我说清楚问题了没有,请多指教,谢谢~

1 个答案

丹丹_品职答疑助手 · 2021年04月07日

嗨,从没放弃的小努力你好:


同学你好,其实题干也提示了是geometric ,所以要用除法。我们可以将treasure bill理解为rf,股票价格和rf之间的差别就反应了inflation。所以去求risk premium的时候也包含在了里面

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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