lea · 2023年01月09日
NO.PZ2022101402000009
问题如下：
An analyst is estimating a forward-looking ERP for a market based on the following information:
Using the Grinold-Kroner model, the estimates of the ERP is closet to:
选项：
A.
2.16%
B.
4.24%
C.
5.18%
解释：
B is correct.
The ERP using the forward-looking approach is calculated as
ERP = {1.8 – 1.2 + (1.9 + 2.7 + 0.0)} – 0.96
ERP = 5.20 – 0.96 = 4.24%.
Grindold Krono是forward looking model应该用longterm debt 3.15%不是吗
0.965是3month 应该算是shortterm
王琛_品职助教 · 2023年01月10日
嗨，从没放弃的小努力你好：
1
表格中的数据，并没有提供长期债的数据哈，已知的两个政府债券的收益，都是短期的
同学所说的是最后一行的数据，也是短期债 short-term
2
所谓的 long-term 并不是用来形容债券的期限，而是想说计算的历史数据是长期的
因为最后两行数据，是使用历史估计法来计算 ERP
3
倒数第三行是「当下」current 的债券数据
最后一行是「过去」多年的债券数据
使用未来估计法，Rf 使用「当下」的债券数据哈
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2022101402000009问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16%B.4.24%C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 老师好，看了其他同学的问题回复，还是不太理解，为什么不用3.15%老师的回复里面说了，这里属于look-forwarmol，要用长期，但是因为题目没有给长期，所以只能用短期。但是题目给了长期啊，3.15%就是长期啊。谢谢老师！
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 答案中算式为什么还有“-0 ”这一项呢？ERP=/P0 + △P/P=/P0 + △P/E +△EPS这里的△EPS不就是“expectegrowth of reEPS=2.7%”吗？
NO.PZ2022101402000009问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16%B.4.24%C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 这里的rf不是回归的值么，是不是应该用历史的短期债来回归出来，还是直接就用当前的短期债
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. Expecteincome component，对应 。这个东西为什么老师上课讲的时候是对应的分红部分呢（见下图）
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 1.8%-1.2%是什么意思
