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皓月 · 2023年02月20日

老师，GK模型到底该怎么记住啊

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202210140200000104

问题如下：

An estimate of the ERP consistent with the Grinold-Kroner model is closest to

选项：

A.

2.7%

B.

3.0%

C.

4.3%

解释：

B is correct.

i = 4% per year (long-term forecast of inflation)

g = 4% per year (growth in real GDP)

Δ (P/E0 = 1% per year (growth in market P/E)

dy = 1% per year (dividend yield or the income portion)

Risk-free return = rf = 7% per year (for 10-year maturities)

Using the Grinold-Kroner model, the ERP estimate is

ERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.

The premium of 3.0% compensates investors for average market risk, given expectations for inflation, real earnings growth, P/E growth, and anticipated income.

有没有类似于 CK=PS 的记忆方法啊，实在是不想因为背诵公式出错丢分，

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1 个答案

王琛_品职助教 · 2023年02月21日

嗨，爱思考的PZer你好：


1

关于 GK Model 的学习，个人建议，首先还是熟悉公式的推导

老师在课上推导了多遍，同学可以先再复习一下

请参考基础班讲义墨迹版 P148

2

其次，可以再观察，原版书例题和课后题的考查角度

关于 GK Model，考查都比较简单

因为公式涉及的变量较多，所以如果出题，协会大概率不会再在细节为难考生

就是直接代入表格中的数据即可，并没有出现公式之外的变量来混淆考生

建议同学再定期回顾一下，基础班例题或者是课后题，保持记忆即可

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