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追梦赤子 · 2023年03月18日

D1/P是1.8%,题目中的收入组成没看懂。

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%.

D1/P是1.8%,题目中的收入组成没看懂。

1 个答案

王琛_品职助教 · 2023年03月20日

嗨,爱思考的PZer你好:


同学好,请问你的问题是,expected income component DY 为何是 1.8% 吗?

GK Model 中,Factor 就是表格中的表述形式,一种是文字表述,即本题;还有一种是符号表述,即基础班例题

请参考基础班讲义墨迹版 P146

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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