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积极向上 · 2023年04月17日

Dividend yield 为啥加上去？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2020012201000007

问题如下：

Alena,CFA, was updating her firm’s projections for US equity returns.If she believed that in the long run that the US labor input would grow by 0.9% perannum and labor productivity by 1.5%, that inflation would be 2.1%, that the dividend yield would be 2.25%, and that there would be no further growth in P/E, what is likely to have been her baseline projection for continuously compounded long-term US equity returns?

选项：

A.

6.75%

B.

5.5%

C.

5.85%

解释：

A is correct

解释：

在长期，一国股票市场的增长率等于该国GDP的增长率(本题P/E增长率为0也证实了这一点)。那么本题就等于计算该国GDP的增长率。

Her baseline projection is likely to have been 6.75% = 0.9% + 1.5% + 2.1% + 2.25%

依照公式可得：. 6.75% = 0.9% + 1.5% + 2.1% + 2.25%

这道题目很明显，

股票长期收益率会等于GDP

而GDP 的收益率就是labor input和labor productivity的加总，以及inflation的调整

为什么还要加dividend yield？


看了其他类似的提问的讲解，说是用了GK model，这道题目哪里提示你要用GK model了？

而且不加上 dividend yield，B选项可以对上，为什么不能是我以上的理解呢？


请老师详细解析一下


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1 个答案

源_品职助教 · 2023年04月17日

嗨，爱思考的PZer你好：


题目没有明确提及GK的模型。不过题目做多了看到这种同时给出dividend yield以及PE的，一般就默认用GK模型了。

不用GK模型也没关系，其实题目也只是把所有项相加了起来。

股权收益= income return(股权收益)+capital appreciation return

其中，capital appreciation return增长= GDP增长+（E/GDP）增长+PE增长

在长期，E/GDP）增长和PE增长都默认为0，所以有capital appreciation return增长= GDP增长。这是长期的结论。

就本题而言，股权收益= income return(股权收益)+GDP增长

其实分红计入股权收益，这是肯定要计入的，这也是欧美投资者买骨片的很重要的原因。

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