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秋樣 · 2024年01月11日

CME - GK model

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202212260100002402

问题如下：

Calculate the expected annual equity return using the Grinold–Kroner model (assume no change in the number of shares outstanding).

选项：

解释：

The Grinold–Kroner model states that the expected return on equity is the sum of the expected income return (2.4%), the expected nominal earnings growth return (7.3% = 2.3% from inflation + 5.0% from real earnings growth) and the expected repricing return (–3.45%). The expected change in market valuation of –3.45% is calculated as the percentage change in the P/E level from the current 14.5× to the expected level of 14.0×: (14 – 14.5)/14.5 = –3.45%. Thus, the expected return is 2.4% + 7.3% – 3.45% = 6.25%

中文解析：

Grinold-Kroner模型指出，预期股本回报率是预期收入回报率(2.4%)、预期名义收益增长回报率(7.3% =通胀带来的2.3% +实际收益增长带来的5.0%)和预期再定价回报率(-3.45%)的总和。市场估值预期变化- 3.45%的计算方法是市盈率水平从当前的14.5倍变化到预期的14.0倍的百分比:(14 - 14.5)/14.5 = - 3.45%。因此，预期收益率为2.4% + 7.3% - 3.45% = 6.25%

老师好，请问模型中的D1/P0 在这里要用expected annual income return吗？不是dividend yield吗？为啥用表述expected annual income return？

能否用第一列的average annual dividend income return？谢谢

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笛子_品职助教 · 2024年01月12日

嗨，爱思考的PZer你好：


Hello，亲爱的同学~

注意表述：D1/p0，这个D1是指下一年预期的D。

因此需要使用expected annual income return。是预期的dividend yield。

这里不能用average annual dividend income return

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NO.PZ202212260100002402 问题如下 Calculate the expecteannualequity return using the GrinolKroner mol (assume no change in the number ofshares outstanng). The GrinolKroner mol statesththe expectereturn on equity is the sum of the expecteincome return(2.4%), the expectenominearnings growth return (7.3% = 2.3% from inflation+ 5.0% from reearnings growth) anthe expecterepricing return (–3.45%). The expectechange in market valuation of–3.45% is calculatethe percentage change in the P/E level from the current14.5× to the expectelevel of 14.0×: (14 – 14.5)/14.5 = –3.45%. Thus, theexpectereturn is 2.4% + 7.3% – 3.45% = 6.25% 中文解析GrinolKroner模型指出，预期股本回报率是预期收入回报率(2.4%)、预期名义收益增长回报率(7.3% =通胀带来的2.3% +实际收益增长带来的5.0%)和预期再定价回报率(-3.45%)的总和。市场估值预期变化- 3.45%的计算方法是市盈率水平从当前的14.5倍变化到预期的14.0倍的百分比:(14 - 14.5)/14.5 = - 3.45%。因此，预期收益率为2.4% + 7.3% - 3.45% = 6.25% 考试时没有lta，怎么打出来表达式最省时间且规范？

2024-05-23 22:46 1 · 回答

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2024-01-25 18:14 1 · 回答

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