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little yao · 2023年08月22日

repurchase yield

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000073

问题如下：

Fiske prefers to forecast the average annual return for US large-cap equities over the next 10 years using the Grinold–Kroner model and the data in Exhibit 2.

Using the data in Exhibit 2 and Fiske’s preferred approach, the estimated expected annual return for US large-cap equities over the next 10 years is closest to:

选项：

A.7.9%

B.7.6%

C.7.4%

解释：

Correct Answer: B

The Grinold–Kroner model formula is E(R) = D/P ‒ ∆S + i + g + ∆P/E

First, compute the compound annual growth rate of the P/E: (15.0/15.6)1/10 – 1 = ‒0.4%.

Next, compute, as a percentage, the expected return per the Grinold–Kroner model formula:

E(R) = 2.1 ‒ (‒1.0) + 2.3 + 2.6 – 0.4 = 7.6

中文解析：

Grinold-Kroner模型公式为E(R) = D/P -∆S + i + g +∆P/E

首先，计算市盈率的复合年增长率:(15.0/15.6)1/10 - 1 = - 0.4%。

接下来，根据Grinold-Kroner模型公式，以百分比计算预期收益:

E(r) = 2.1 - (- 1.0) + 2.3 + 2.6 - 0.4 = 7.6

为什么-（-1%），为什么不直接加1%

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1 个答案

笛子_品职助教 · 2023年08月23日

嗨，爱思考的PZer你好：


为什么-（-1%），为什么不直接加1%

股份减少了1%，-1%

股份减少与收益反向，因此有：-（-1%）

本题是这个含义。


实际上，这里可以写成直接+1%

减-1%就是加1%。

因为题目直接已知repurchase yield，直接加就可以了。


协会这里减-1%是多此一举了。

不过不影响最终答案。

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努力的时光都是限量版，加油！

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