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karweillas · 2024年08月08日

这题是哪个知识点？

  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


GGM不是d0(1+g)/(re-g)永续增长模型吗？与这里有什么关系？

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王园圆_品职助教 · 2024年08月08日

同学你好，本题对应的基础班墨迹讲义截图如下

GGM就是推导这个公式的基础呀

因为GGM V0＝D1/(Re-g)

所以Re= D1/V0 +g

又因为CAPM下 risk premium就等于Re- Rf

所以ERP = D1/V0 +g - Rf

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