NO.PZ2018091901000059
问题如下：
An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:
Using the information in the table and the Grinold–Kroner model, calculates the expected annual equity risk premium.
选项：
A. 6.25%
B.
3.95%
C. 3.45%
解释：
B is correct.
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%. Tus, the expected return is 2.4% + 7.3% – 3.45% = 6.25%.
Expected equity return – Current 10-year government bond yield =Expected equity risk premium
6.25% – 2.3% = 3.95%
解析：
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%.
Expected annual equity risk premium=Expected equity return –Current 10-Year government bond yield=6.25% – 2.3% = 3.95%
注意到上述公式中之所以使用10-Year government bond的当前收益率是因为题目中没有给出与之对应的未来收益率，所以我们只能用当前收益率作为替代。
本题中直接用expected P/E和current P/E求了一个P/E变动率，但是没有考虑horizon的问题。是不是有高估P/E增长率的问题？谢谢