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秋诗1994 · 2020年12月08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%

 for continuously compounded long-term US equity returns?


请问用GK模型算出来的股票收益率是【连续复利】吗？这里是哪里有讲到呢？


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3 个答案

源_品职助教 · 2020年12月22日

不客气，继续加油~

源_品职助教 · 2020年12月14日

查了一下，这是原版书一道例题。除了这道例题外，原版书并未沿用 continuously compounded 的说法。本题也没有对此解释。

个人认为，原版书的意思是，如果把经济增长当成一个非常长期的过程，那么用平滑观点来看，就可以当做是 continuously compounded 的。

但是实际计算起来，的确和 continuously compounded 带E底的计算不同。

秋诗1994 · 2020年12月15日

好的 谢谢～

源_品职助教 · 2020年12月09日

嗨，从没放弃的小努力你好：


GK 模型股票收益不涉及连续复利的概念，也不是连续复利的计算形式。

在基础班讲义P37有讲到。


-------------------------------
努力的时光都是限量版，加油！


秋诗1994 · 2020年12月10日

for continuously compounded long-term US equity returns? 但是问题里问的是continuously compounded啊？

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