NO.PZ2018103102000018
问题如下：
Although the government bond yield curve has historically been upward sloping, currently the yield curve is inverted. To estimate the required return based on the short-term government bond rate and a historical ERP defined in terms of a short-term government bond rate would be:
选项：
A. bias long-term required return on equity estimates
upwards.
B. bias long-term required return on equity estimates
downwards.
C. have no effect on long-term required return on
equity estimates.
解释：
A is correct.
考点：Equity risk premium
解析：A是正确的。题目要我们基于当前短期国债利率和历史股本风险溢价来估计股东的要求回报率会使得估计偏大。这是因为根据CAPM,ERP基于历史短期利率(历史上利率曲线是向上倾斜的，短期低，长期高)，所以ERP会比较大。而无风险利率用的是当前的短期利率（ 短期利率目前高于长期利率 ），这也将增加股东所需的要求回报率。
Current yield curve is inverted, so short term is greater than long term, therefore Rm - Rf is smaller , then Re is also smaller, hence ERP is biased downwards…not upwards….
