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黄路迦 · 2023年03月01日

如下

  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.

为什么不用上面算的平均的国债收益率代替rf

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1 个答案

王琛_品职助教 · 2023年03月02日

嗨，努力学习的PZer你好：


我理解同学所说的「上面算的」是指表格的前两行？

表格的前两行，并不是 10 年期政府债券的收益，而是用历史估计法计算的 ERP

也请参考：https://class.pzacademy.com/qa/115812

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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