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【第六周 练习跟我做】权益证券产品 经典习题来挑战

特许分析师跟我学2019-12-01 16:46:15


An equity index is established in 2001 for a country that has relatively recently established a market economy. The index vendor constructed returns for the five years prior to 2001 based on the initial group of companies constituting the index in 2001. Over 2004 to 2006 a series of military confrontations concerning a disputed border disrupted the economy and financial markets. The dispute is conclusively arbitrated at the end of 2006. In total, ten years of equity market return history is available as of the beginning of2007. The geometric mean return relative to 10-year government bond returns over 10 years is 2 percent per year. The forward dividend yield on the index is 1 percent. Stock returns over 2004 to 2006 reflect the setbacks but economists predict the country will be on a path of a 4 percent real GDP growth rate by 2009. Earnings in the public corporate sector are expected to grow at a 5 percent per year real growth rate. Consistent with that, the market PIE ratio is expected to grow at 1 percent per year. Although inflation is currently high at 6 percent per year, the long-term forecast is for an inflation rate of 4 percent per year. Although the yield curve has usually been upward sloping, currently the government yield curve is inverted; at the short-end, yields are 9 percent and at 10-year maturities, yields are 7 percent. 

1.The inclusion of index returns prior to 2001 would be expected to:

A.bias the historical equity risk premium estimate upwards.

B.bias the historical equity risk premium estimate downwards.

C.C have no effect on the historical equity risk premium estimate.


2.The events of 2004 to 2006 would be expected to:

A.bias the historical equity risk premium estimate upwards.

B.bias the historical equity risk premium estimate downwards.

C.have no effect on the historical equity risk premium estimate.


3.In the current interest rate environment, using a required return estimate based on the short-term government bond rate and a historical equity risk premium defined in terms of a short-term government bond rate would be expected to:

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.


4.A supply side estimate of the equity risk premium as presented by The Ibbotson-Chen earnings model is closest to:

A.3.2 percent.

B.4.0 percent.

C.4.3 percent.


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

A.between 2 percent and 7 percent.

B.between 7 and 9 percent.

C.9 percent or greater.


6.Which of the following statements is most accurate? If two equity issues have the same market risk but the first issue has higher leverage, greater liquidity, and a higher required return, the higher required return is most likely the result of the first issue's:

A.greater liquidity.

B.higher leverage.

C.higher leverage and greater liquidity.

快速校对:1~6 ABACCB

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