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周梅 · 2024年03月22日

公司治理

  1. CFA II
  2. Corporate Issuers

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 closest to:

选项：

A.

2.16%

B.

4.24%

C.

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%.

1.8%-1.2%是什么意思

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1 个答案

王琛_品职助教 · 2024年03月24日

嗨，努力学习的PZer你好：


1

这道题考查 GK Model 的公式

直接带公式即可

2

1.8% 是 Expected income component，对应 DY

-1.2% 是 Expected growth rate in the P/E，对应 Δ(P/E) 

也请参考基础班讲义墨迹版 P146

 

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