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SHAO · 2024年06月27日

老师，请问这里的D1为什么直接用33.6这个预测值呢？而不用D0*1.06？后者不是更准确吗

  1. CFA II
  2. Corporate Issuers

NO.PZ2023040402000022

问题如下：

Jose Rivera estimates the forward-looking equity risk premium using the Gordon growth model (GGM). Rivera adds 1.50% to the risk premium he has computed to account for the additional small firm risk premium associated with BTP.


Using Exhibit 1 and Rivera's adjustment, the risk premium for BTP stock according to the Gordon growth model is closest to:

选项：

A.

5.77%.

B.

5.61%.

C.

7.02%.

解释：

First compute the GGM equity risk premium and then add Rivera’s adjustment for small firm risk premium. Computations are as follows:

GGM equity risk premium estimate = Dividend yield on the index based on year-ahead aggregate forecasted dividends and aggregate market value + Consensus long-term earnings growth rate ̶ Current long-term government bond yield


老师，请问这里的D1为什么直接用33.6这个预测值呢？而不用D0*1.06？后者不是更准确吗

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王琛_品职助教 · 2024年06月28日

嗨，爱思考的PZer你好：


因为如果已经有分析师，提供了下一年度的预期股利 D1

则，这通常是基于更详细的分析，和最新的数据预测出的值

比单纯使用当前股利，乘以增长率更为准确和可靠

分析师预测的 D1，通常考虑了更多的市场和公司特定的信息，而不仅仅是基于一个长期固定的增长率

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