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GK model 长期下的公式

* 问题详情，请查看题干

NO.PZ202206070100000104

问题如下：

Given O’Reilly’s forecasts for the European market, the expected long-term equity return using the Grinold–Kroner model is closest to:

选项：

A.7.35%.

B.6.35%.

C.8.35%.

解释：

Solution

C is correct. The Grinold–Kroner model estimates the expected return on equity as follows:

$\begin{matrix} E [R_{e}] \approx \frac{D}{P} + (% Δ E - % Δ S) + % Δ P / E \\ = 1.95 + (5.25 -- (1)) + 0.15 \\ = 8.35 % \end{matrix}$

where

E(R_e) = expected rate of return on equity

D/P = expected dividend yield

%ΔE = expected percent change in total earnings

%ΔS = expected percent change in number of shares outstanding

%ΔP/E = expected percent change in the price-to-earnings ratio

(%ΔE – %ΔS) = the growth rate of earnings per share

%ΔE = nominal earnings growth = real earnings growth + long-term inflation + corporate premium

=2.50% + 1.75% + 1.00%

=5.25%

Alternatively, the expected return from the Grinold–Kroner model can be expressed as the sum of:

Expected cash flow (Income) return: D/P – %ΔS = 1.95 – (1.00) = 2.95

Expected nominal earnings growth return = %ΔE = 5.25 (as shown above)

Expected Pricing return: %ΔP/E = 0.15

Expected Return = 8.35%

A is incorrect. It incorrectly omitted the decline in shares outstanding from the calculation.

B is incorrect. It incorrectly added the decline in shares outstanding instead of subtracting it.

C是正确的。Grinold-Kroner模型估计的预期股本回报率如下:

$\begin{matrix} E [R_{e}] \approx \frac{D}{P} + (% Δ E - % Δ S) + % Δ P / E \\ = 1.95 + (5.25 -- (1)) + 0.15 \\ = 8.35 % \end{matrix}$

E(Re) =预期净资产收益率
D/P =预期股息收益率
%ΔE =总收益预期变化百分比
%ΔS =流通股数量的预期变动百分比
%ΔP/E =预期市盈率变动百分比
(%ΔE - %ΔS) =每股收益增长率
%ΔE =名义收益增长=实际收益增长+长期通胀+公司溢价
=2.50% + 1.75% + 1.00%
= 5.25%

或者，Grinold-Kroner模型的预期收益可以表示为:
预期现金流(收入)回报:D/P - %ΔS = 1.95 - (1.00) = 2.95
预期名义收益增长回报率= %ΔE = 5.25(如上所示)
预期定价回报率:%ΔP/E = 0.15
预期回报率= 8.35%
A是不正确的。它错误地从计算中忽略了流通股的下跌。
B是不正确的。它错误地增加了流通股跌幅，而不是减去它。