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陈Shelly · 2020年07月17日

问一道题：NO.PZ2020012201000007

  1. CFA III
  2. Capital Market Expectations

问题如下：

Alena,CFA, was updating her firm’s projections for US equity returns.If she believed that in the long run that the US labor input would grow by 0.9% perannum and labor productivity by 1.5%, that inflation would be 2.1%, that the dividend yield would be 2.25%, and that there would be no further growth in P/E, what is likely to have been her baseline projection for continuously compounded long-term US equity returns?

选项：

A.

6.75%

B.

5.5%

C.

5.85%

解释：

A is correct

解释：

在长期，一国股票市场的增长率等于该国GDP的增长率(本题P/E增长率为0也证实了这一点)。那么本题就等于计算该国GDP的增长率。

Her baseline projection is likely to have been 6.75% = 0.9% + 1.5% + 2.1% + 2.25%

依照公式可得：. 6.75% = 0.9% + 1.5% + 2.1% + 2.25%

看了大家的问题之后，这道题我是这样总结的，但是还有一点问题。

首先这道题结合了两个知识点GDP的composition和GK模型（equity earning的composition）。

1、%△GDP=labor productivity+labor force（题目中的labor input）=0.9%+1.5%=2.4%

2、GK model：E（Re）= D/P+%△E-%S+%P/E = 2.25%+%△E-0+0 = 2.25%+%△GDP+%△E/GDP

在这里%△GDP+%△E/GDP就是%△E，我理解%△E是nominal return rate包含inflation rate，可是这个inflation rate没有直接包含在刚刚计算的%△GDP中吗？%△E/GDP也等于0吗？

2、GK model：E（Re）= D/P+%△E-%S+%P/E = 2.25%+%△E-0+0 = 2.25%+%△GDP+%△E/GDP 

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2 个答案

源_品职助教 · 2020年09月15日

可以像你说的这么去理解。

源_品职助教 · 2020年07月19日

嗨，从没放弃的小努力你好：


一般看到这类题目，需要看一下题目有没有单独给出 inflation rate 数据，多数情况是给了，给了就说明没有包含在 %△GDP中 ，那就要加上。如果没给，那就认为包含了，就不要管了。

%△E/GDP 在长期来看应该等于0，如果题目没有相关数据， 默认为0

 


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每天都想出坑的铁头娃 · 2020年09月15日

这个题目书上给的第一列是real GDP growth，所以估计这里算的GDP就都是没有调整GDP的，是这么个思路么？其实我做的时候也在纠结这个inflation到底加还是不加

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