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%
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%.
GK模型推导如下：
ERP=Rm-Rf
=D1/P+△P/P-Rf
=D1/P+%△P-Rf
=D1/P+[ %△(P/E)+%△EPS]-Rf ①
=D1/P+[ %△(P/E)+%△E-%△S]-Rf ②（由%△EPS=%△E-%△S得到）
=D1/P+[ %△(P/E)+%△g+%△i-%△S]-Rf ③（由%△E=%△g+%△i得到）
我的理解%△g应该是Expected growth in real earnings而不是Expected growth in real earnings per share，因为 ②中 %△EPS=%△E-%△S，已经将每股收益的变化拆解为总earning变化-由回购引起的股数的变化，%△E中已经是总earning变化（而非每股收益的变化）。
推导过程中，%△E或%△g已经剔除股数，应该是总的nominal 或 real earning变化，为什么还是earning per share 的概念？
