CFA考试资料Kaplan Exam Qbank L2（考友版）Checkpoint Exam 2 (Study Sessions 9-14).pdfVIP

CFA Level II Questions #1-6 of 42 Questions 91–96 relate to Yi Tang. CFA/FRM studying materials,WeChat:musiq1237 Yi Tang updates several economic parameters monthly for use by the analysts and the portfolio managers at her firm. If economic conditions warrant, she will update the parameters even more frequently. As a result of an economic slowdown, she is going through this process now. The firm has been using an equity risk premium of 5.2%, derived using historical estimates. By comparing the yields on nominal bonds and real bonds, Tang estimates the expected inflation rate to be 2.6%. She expects real domestic growth to be 3.0%. Tang believes that the markets are currently overvalued by 3%. The yield on the market index is 1.7%, and the expected risk-free rate of return is 2.7%. Elizabeth Trotter, one of the firms portfolio Managers, asks Tang about the effects of survivorship bias on estimates of the equity risk premium. Trotter asks, Which method is most susceptible to this bias: historical estimates, Gordon growth model estimates, or survey estimates? Tang wishes to estimate the required rate of return for Northeast Electric (NE) using the Capital Asset Pricing Model (CAPM) and the Fama-French model. She uses the following information to accomplish this: Factor Risk Premium Factor Sensitivity Market 5.2% 0.83 (historical) Size 3.2% –0.76 Value 5.4% –0.04 Liquidity 1.1% 0.20 Trotter has one final question for Tang. Trotter says, We need to estimate the equity beta for VixPRO, which is a private company that is not publicly traded. We have identified a publicly traded company that has similar operating characteristics to VixPRO, and we have estimated the beta for that company using regression analysis. We used the return on the public company as the dependent variable and the return on the market index as the independent v