以下是引用wzaina在2009-3-5 9:57:00的发言：
LOS b: Explain the equity risk premium and its use in required return determination, and demonstrate the use of historical and forward-looking estimation approaches.
Q1. Equity analyst Yasmine Cordova of Substantial Securities is trying to determine the investment appeal of shares of Maxwell Mincemeat, a small food company. Cordova has assembled the following data about the company:
- Internal rate of return: 9.4%.
- Maxwell’s 20-year bond yield to maturity: 7.9%.
- Maxwell’s two-year bond yield to maturity: 6.1%.
- Treasury bill yield: 3.4%.
- Maxwell’s estimated beta: 2.1.
- Maxwell’s 20-year bonds are priced at $102.65.
- Maxwell’s two-year bonds are priced at $101.47.
- Estimated return of Russell 2000 Index: 12.3%.
- Substantial’s credit analyst estimates that Maxwell’s equity warrants a premium of 4.9% over its bonds.
Cordova wants to make sure her estimates are accurate, so she decides to calculate the estimated required return in two ways. She opts for the bond-yield plus risk premium method and the capital asset pricing model. To check her work, she wants to compare the estimates derived under each method. The difference between the required returns is closest to:
A) 9.29%.
B) 5.30%.
C) 5.89%.
Q2. The equity risk premium is the difference between:
A) the required equity return and the risk-free return.
B) the estimated equity return and the risk-free return.
C) estimated equity returns and estimated bond returns.
Q3. An analyst attempting to derive the equity risk premium for a stock starting from the required return for that stock would find which of the following statistics least useful?
A) The stock’s beta.
B) Historical 10-year Treasury bond rates.
C) The stock’s estimated return.
Q4. Ben Jacobs, CFA, is attempting to calculate a historical equity risk premium. His first estimate uses geometric mean equity returns and long-term bond yields. His second estimate uses arithmetic mean returns and short-term bond yields. The effect of the changes in methodology in the second estimate, relative to the first, will:
A) both decrease the size of the risk premium.
B) both increase the size of the risk premium.
C) have offsetting effects.
发表于 2009-5-25 21:03
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