开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

Pavel Korchagin · 2024年01月04日

为什么要用long term的inflation 和 long term的rf？

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202210140200000104

问题如下：

An estimate of the ERP consistent with the Grinold-Kroner model is closest to

选项：

A.

2.7%

B.

3.0%

C.

4.3%

解释：

B is correct.

i = 4% per year (long-term forecast of inflation)

g = 4% per year (growth in real GDP)

Δ (P/E0 = 1% per year (growth in market P/E)

dy = 1% per year (dividend yield or the income portion)

Risk-free return = rf = 7% per year (for 10-year maturities)

Using the Grinold-Kroner model, the ERP estimate is

ERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.

The premium of 3.0% compensates investors for average market risk, given expectations for inflation, real earnings growth, P/E growth, and anticipated income.

rt

添加评论
1 个答案

王琛_品职助教 · 2024年01月05日

嗨，从没放弃的小努力你好：


1）为什么要用 long term 的 inflation？

因为 GK model 属于未来估计法 forward-looking approach

所以公式中的指标，使用的都是未来的预测值 future expectations

所以不能使用当前 current 的 inflation，而要是用长期预测值 long-term forecast

也请参考基础班讲义墨迹版 P146

2）为什么要用 long term 的 rf？

还是因为 GK model 属于未来估计法 forward-looking approach

计算 ERP 是为了统计 cost of equity

而股票假设是永续经营，所以为了匹配期限，Rm - rf 的 rf 我们用长期

也请参考基础班讲义墨迹版 P173

如果是历史估计法 historical approach 计算 ERP 

rf 的选择，则取决于分析师的判断，可长可短，各有优劣

请参考基础班讲义墨迹版 P133

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 1

    关注

  • 244

    浏览
相关问题

NO.PZ202210140200000104 问题如下 estimate of the ERP consistent with the GrinolKroner mol is closest to A.2.7% B.3.0% C.4.3% B is correct.i = 4% per ye(long-term forecast of inflation)g = 4% per ye(growth in reG)Δ (P/E0 = 1% per ye(growth in market P/E) = 1% per ye(vinyielor the income portion)Risk-free return = rf = 7% per ye(for 10-yematurities)Using the GrinolKroner mol, the ERP estimate isERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.The premium of 3.0% compensates investors for average market risk, given expectations for inflation, reearnings growth, P/E growth, ananticipateincome. 1、g为什么不能选择Forecastepublic company earnings growth？使用企业增长率会否更合适？2、对△s的加减不明确，代表的是股份增加数还是股份回购数？请针对考试提供简单明确的判断方法

2023-12-17 10:13 1 · 回答

NO.PZ202210140200000104问题如下 estimate of the ERP consistent with the GrinolKroner mol is closest to A.2.7%B.3.0%C.4.3% B is correct.i = 4% per ye(long-term forecast of inflation)g = 4% per ye(growth in reG)Δ (P/E0 = 1% per ye(growth in market P/E) = 1% per ye(vinyielor the income portion)Risk-free return = rf = 7% per ye(for 10-yematurities)Using the GrinolKroner mol, the ERP estimate isERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.The premium of 3.0% compensates investors for average market risk, given expectations for inflation, reearnings growth, P/E growth, ananticipateincome. GK模型在哪节课讲的？是不是今年的新考点？请指出具体的章节需要回看

2023-04-16 23:30 2 · 回答

NO.PZ202210140200000104 问题如下 estimate of the ERP consistent with the GrinolKroner mol is closest to A.2.7% B.3.0% C.4.3% B is correct.i = 4% per ye(long-term forecast of inflation)g = 4% per ye(growth in reG)Δ (P/E0 = 1% per ye(growth in market P/E) = 1% per ye(vinyielor the income portion)Risk-free return = rf = 7% per ye(for 10-yematurities)Using the GrinolKroner mol, the ERP estimate isERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.The premium of 3.0% compensates investors for average market risk, given expectations for inflation, reearnings growth, P/E growth, ananticipateincome. 这里的这个 0.0 是啥？

2023-03-02 09:34 1 · 回答

NO.PZ202210140200000104问题如下 estimate of the ERP consistent with the GrinolKroner mol is closest to A.2.7%B.3.0%C.4.3% B is correct.i = 4% per ye(long-term forecast of inflation)g = 4% per ye(growth in reG)Δ (P/E0 = 1% per ye(growth in market P/E) = 1% per ye(vinyielor the income portion)Risk-free return = rf = 7% per ye(for 10-yematurities)Using the GrinolKroner mol, the ERP estimate isERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.The premium of 3.0% compensates investors for average market risk, given expectations for inflation, reearnings growth, P/E growth, ananticipateincome. 为什么不用上面算的平均的国债收益率代替rf

2023-03-01 10:44 1 · 回答