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溢价之谜
There are a number of possible explanations for these very high ex post returns. One issurvivorship bias in the numbers. America, which is the benchmark for ERP measurements,turned out to be the most successful economy of the 20th century, but it might not havebeen. Before the first world war investors doubtless had high hopes for Argentina, China orRussiaonly to be disappointed.
对于如此高额的事后估计收益有种种解释。一种是幸存者偏差。作为股票风险溢价测量方法的基准的美国,被证明是20世纪最成功的经济体,但这一切已经不复存在。在第一次世界大战之前对阿根廷,中国或俄罗斯抱很大希望的投资者没想到会失望。
Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School haveanalysed the data for 19 countries from 1900 to 2011 and found that the ERP relative toTreasury bills ranged from just over two-and-a-halfpercentage points a year in Denmark to six-and-a-half points in Australia. They found apremium for America of five percentage points.
伦敦商学院的Elroy Dimson, Paul Marsh和Mike Staunton对19个国家从1900年到2011年的数据进行分析后发现,股票风险溢价相对于短期无息国库券相比的收益范围从丹麦的每年2.5个百分点到澳大利亚的每年6.5个百分点不等。美国的溢价是5个百分点。
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