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飞不动的小仙女 · 2022年01月23日

为什么不除inflation?

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%

看很多助教回的答案是real return的公式 按照(1+Rnominal)=(1+Rfree)(1+Rinflation)(1+Rrisk premium) 结果不应该是1.008/(1.025*1.021)么 为什么inflation rate不在被除数里?

1 个答案
已采纳答案

Kiko_品职助教 · 2022年01月25日

嗨,爱思考的PZer你好:


因为普通的Treasury bills的利率里包含了通货膨胀的因素(可以关联一下固收里面的知识点,不包含通货膨胀率的债券叫做TIPS)。所以这里的利率2.5%应该已经是(1+real interest rate)(1+inflation)后的结果,就不用再除一遍inflation rate了。

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