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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年01月08日

为啥bond mean return可以被当作股票减去债券的risk premium?

* 问题详情,请 查看题干

NO.PZ202210140200000105

问题如下:

Common stock issues in the aforementioned market with average systematic risk are most likely to have required rates of return of:

选项:

A.

between 2% and 7%.

B.

between 7% and 9%.

C.

9% or greater.

解释:

C is correct. Based on a long-term government bond yield of 7%, a beta of 1, and any of the risk premium estimates that can be calculated from the givens (e.g., a 2% historical risk premium estimate or 3.0% Grinold-Kroner ERP estimate), the required rate of return would be at least 9%. Based on using a short-term rate of 9%, C is the correct choice.

老师好,我想请教解析中说的a 2% historical risk premium estimate,为啥bond mean return(不论是几何平均或算数平均的mean return)可以被当作股票减去债券的risk premium呢?

1 个答案
已采纳答案

王琛_品职助教 · 2023年01月10日

嗨,从没放弃的小努力你好:


1

表格的前两行,并不是 10 年期政府债券的收益哈,而是 ERP

是股票市场的收益,相对于债券的超额收益,关键词是 relative to

2

即,计算过去 20 年,每年每个月的 ERP

然后分别使用算数平均和几何平均,计算 ERP 的均值

表格的前两行,对应的是考点,是使用历史估计法计算 ERP

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