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勇往直前 · 2022年03月08日

为什么不能是8.0-2.5=5.5,完全不知道要考什么

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%

为什么不能是8.0-2.5=5.5,完全不知道要考什么

1 个答案

Kiko_品职助教 · 2022年03月08日

嗨,努力学习的PZer你好:


这道题结合corporate finance知识点,具体公式是(1+nominal rate)=(1+nominal risk-free rate)*(1+risk premium)=(1+real risk-free rate)*(1+inflation)*(1+risk premium)。从这道题而言,直接用nominal rate除以(1+nominal risk-free rate)就可以算出risk premium(Treasury bills的利率就是nominal risk-free rate)

R-RF是求风险资产高于无风险收益率的部分的简化计算,其实题干也提示了是geometric ,所以要用除法。

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