是哪个公式？为什么用expected income return 不用dividend income return-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

是哪个公式？为什么用expected income return 不用dividend income return

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NO.PZ202001210200000402

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%

解析：Grinold-Kroner model计算收益率时包含以下三个部分： the expected income return, the expected nominal earnings growth return 以及 the expected repricing return。那么我们就分别求解这三部分。

从表格中直接可得Expected annual income return= 2.4%

The expected nominal earnings growth return=Expected annual real earnings growth + Expected inflation rate=5%+2.3%=7.3%

对于The expected repricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即： (14−14.5)/14.5 =−3.45%.

所以最终的收益率为2.4% + 7.3% – 3.45% = 6.25%.

可以详细解释一下这道题的原理吗

嗨，努力学习的PZer你好：

这题用的是GK模型的公式，在咱们基础班讲义P142.

即"D/P+(%△E-%△S)+%△P/E

D/P就是Expected annual income return= 2.4%

(%△E-%△S)对应The expected nominal earnings growth return=Expected annual real earnings growth + Expected inflation rate=5%+2.3%=7.3%

The expected repricing return就是%△P/E，即P/E的变化值， (14−14.5)/14.5 =−3.45%.

所以本题驻点是知道这个公式，然后对应每一项带数字即可。

因为题目要求的是“expected” annual equity return，是预期的，所以要用预期数据，而不用历史数据。

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是哪个公式？为什么用expected income return 不用dividend income return

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