NO.PZ2018091901000058
问题如下：
An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:
Using the information in the table, calculate the expected annual equity return using the Grinold–Kroner model (assume no change in the number of shares outstanding).
选项：
A.
6.25%
B.
-3.45%
C.
7.3%
解释：
A is correct.
The Grinold–Kronermodel states that the expected return on equity is the sum of the expectedincome return (2.4%), the expected nominal earnings growth return (7.3% = 2.3%from inflation + 5.0% from real earnings growth) and the expected repricingreturn (–3.45%). The expected change in market valuation of –3.45% is calculatedas the percentage change in the P/E level from the current 14.5× to theexpected level of 14.0×: (14 – 14.5)/14.5 =–3.45%. Tus, theexpected return is 2.4% + 7.3% – 3.45% = 6.25%.
解析：Grinold-Kronermodel计算收益率时包含以下三个部分： the expected income return, the expected nominal earnings growthreturn 以及 the expected repricing return。那么我们就分别求解这三部分。
从表格中直接可得Expectedannual income return= 2.4%
The expectednominal earnings growth return=Expected annual real earnings growth + Expectedinflation rate=5%+2.3%=7.3%
对于The expectedrepricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即： (14−14.5)/14.5 =−3.45%.
所以最终的收益率为2.4% + 7.3%– 3.45% = 6.25%.
Income return 是dividend yield +repurchase yield ?
