cfa managing investment portfolios（下）

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1、172ManagingInvestmentPortfoliosEXHIBIT4-12ConsensusExpectationsofU.S.FinancialEconomistsofthe30-YearU.S.EquityRiskPremium2001Survey1998SurveyMean5.5%7.1%Median5.07.0Interquartilerange4%7%6%8.4%Source:Welch(2000,2001).long-term(30-year)equityriskpremiumin1998and2001.55TheresultsofthetwoWe

2、lchsurveysforthe30-yearequityriskpremiumaresummarizedinExhibit4-12.A2002surveyofglobalbondinvestorsbySchroderSalomonSmithBarneyfoundanaverageequityriskpremiumintherangeof2percentto2.5percent,whileaGoldmanSachssurveyofglobalclientsrecordedameanlong-runequityriskpremiumof3.9percent.56Suchs

3、urveysmaybesensitivetotheprofessionalidentityoftherespondents.Lally,Roush,andVanZijl(2004)foundthepredictionsofpractitionersfortheNewZealandequityriskpremiumsignificantlyhigherthanthoseofacademics.57Besidesdirectquestionsoncapitalmarketexpectations,forcertainequitymarkets,therearecommerci

4、alsurveysofanalystsforecastsoflong-termearningsgrowthratesthatimplicitlycontainanequitymarketforecastgivenaDCFvaluationmodel.EXAMPLE4-20Short-TermConsumerSpendingintheUnitedKingdomBryanSmithisresearchingthe6-to12-monthexpectationsforconsumerspendingintheUnitedKingdomasofthemiddleof2003.O

5、nepieceofevidencehegathersischangesinconsumersentimentintheUnitedKingdomasmeasuredbytheEconomicOptimismIndex,showninExhibit4-13.InterpretExhibit4-13asitrelatestotheprobablepathofconsumerspending.Solution:BasedonthereadingatDecember2003oftheU.K.ConsumerOptimismIndex,itappearsthatconsumers

6、areconsiderablymoreoptimisticthaninDecember2002.Risingconsumeroptimismisareflectionofconsumersfeelingsecureabouttheirincomestreamandfuture.Risingconsumeroptimismsuggeststhatnear-termconsumerspendingwillincrease.55SeeWelch(2000)andWelch(2001).The1998surveyhad226respondents,whilethe2001surv

7、eyhad510.GrahamandHarvey(2001)reportasurveyof10-yearforecastsoftheU.S.equityriskpremiumbychieffinancialofficers,buttheirsurveyquestionwasnotspecificaboutwhetheranarithmeticorgeometricmeanestimatewassought.56SeeIlmanen,Byrne,Gunasekera,andMinikin(2002)andONeill,Wilson,andMasi