关于金融的问题

不知道有没有学过金融的朋友，在此求教一个问题

首先是关于excess return
1：例如某公司第一年的stock price为32.81，第二年的stock price为35.88，那麽他的return是9.36%,而他的excess return怎样计算？

还有一个关于Portfolio return
2：如果有两只股票，stockA第一年的stock price为32.81，第二年的stock price为35.88；
stockB第一年的stock price为34.36，第二年的stock price为41.75

如果Portfolio为stockA和stockB，那麽计算它的return是用[（35.88+41.75）-（32.81+34.36）]/（32.81+34.36）吗？

谢谢了:unsure:

不是学金融的尝试回答一下

1 、[（35.88-32.81）/32.81]

2、应该是   [a%（35.88-32.81）/32.81]+[b%(41.75- 34.36)/34.36]

a%+b%=100% 分别代表A和B各占的资金比例

[[i] 本帖最后由 corinth 于 2008-4-22 00:42 编辑 [/i]]

1。条件不足：Excess return = Actual return - Risk free return. 现在美国的政府债券大概是 2.51%? (差不多这个数吧？) 那么如果按这个做为 risk free rate 的话，你的 excess return 就是 9.36 - 2.51 = 6.85%.

2。2 楼正解。

感谢两位:unsure:
关于Portfolio return，a%就是32.81/（32.81＋34.36）吧？然后用它乘以stockA的第一个return就可以了吧？

关于excess return，我找到另一种解法，不知是否正确。
如下：

The caculation: Excess Return ( ER )

       The cumulative excess return is the difference between returning rate of one stock price per day and that industrial average returning rate per day.
1.      The returning rate of one stock price per day ( Rit )
       The returning rate of one stock price per day of this research is based on Taiwan Economy New Report Database to caculate. The caculation method of returning rate of one stock price per day is the following:
Rit =({ [ Pit * ( 1 + α + β ) + D] / [Pit_1 + α * C]} – 1) * 100 %
2. The Returning Rate of Industrial Weight Stock Price Index ( Rmt )
       The returning rate of industrial weight stock price index is based on Taiwan Economy New Report Stock Price Database to caculate the returning rate of electronic industrial weight stock price index. The following is the caculation method of returning rate of electronic industrial weight stock price index:
Rmt = [Pmt – Pmt-1 / Pmt-1] * 100 %
Pmt = weight stock price index of current time
Pmt-1 = weight stock price index of last time

3. Excess Return ( ARi )
       The excess return is equal to the returning rate of one stock price per day minus the returning rate of that industrial weight stock price.
ARi = Rit – Rmt

[[i] 本帖最后由 广翔公 于 2008-4-22 06:49 编辑 [/i]]

[quote]原帖由 [i]天宫公主[/i] 于 2008-4-22 00:39 发表
1。条件不足：Excess return = Actual return - Risk free return. 现在美国的政府债券大概是 2.51%? (差不多这个数吧？) 那么如果按这个做为 risk free rate 的话，你的 excess return 就是 9.36 - 2.51 = 6.8 ... [/quote]
我用Daily Treasury Yield Curve Rates作为risk free rate，我选择3 month 可以吗？
[url]http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.shtml[/url]

[i]Morningstar calculates the excess return for each fund, defined as the fund's load-adjusted return minus the return of the 90-day T-bill over the same period.[/i]