xiaoe · 2024年05月03日
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%.
这里的rf不是回归的值么，是不是应该用历史的短期债来回归出来，还是直接就用当前的短期债
王琛_品职助教 · 2024年05月06日
嗨，从没放弃的小努力你好：
1
首先，从时间维度（历史和未来）来说，题目让我们使用的是 GK model，属于未来估计法
所以 rf 既不是回归出来的，也不是用历史值算平均得出的哈
而是就使用当前值 current
2
其次，从债务的期限维度（长期和短期）来说，应该是使用长期债，而不是使用短期债
但题目并没有提供长期利率，所以只能退而求其次，使用短期利率
相关分析，请参考：https://class.pzacademy.com/qa/146657
也请参考基础班讲义墨迹版 P173
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 答案中算式为什么还有“-0 ”这一项呢？ERP=/P0 + △P/P=/P0 + △P/E +△EPS这里的△EPS不就是“expectegrowth of reEPS=2.7%”吗？
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. Expecteincome component，对应 。这个东西为什么老师上课讲的时候是对应的分红部分呢（见下图）
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 1.8%-1.2%是什么意思
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 为什么用0.96 不用 3.15？
