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Pavel Korchagin · 2024年01月04日

为什么要用long term的inflation 和 long term的rf？

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202210140200000104

问题如下：

An estimate of the ERP consistent with the Grinold-Kroner model is closest to

选项：

A.

2.7%

B.

3.0%

C.

4.3%

解释：

B is correct.

i = 4% per year (long-term forecast of inflation)

g = 4% per year (growth in real GDP)

Δ (P/E0 = 1% per year (growth in market P/E)

dy = 1% per year (dividend yield or the income portion)

Risk-free return = rf = 7% per year (for 10-year maturities)

Using the Grinold-Kroner model, the ERP estimate is

ERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.

The premium of 3.0% compensates investors for average market risk, given expectations for inflation, real earnings growth, P/E growth, and anticipated income.

rt

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1 个答案

王琛_品职助教 · 2024年01月05日

嗨，从没放弃的小努力你好：


1）为什么要用 long term 的 inflation？

因为 GK model 属于未来估计法 forward-looking approach

所以公式中的指标，使用的都是未来的预测值 future expectations

所以不能使用当前 current 的 inflation，而要是用长期预测值 long-term forecast

也请参考基础班讲义墨迹版 P146

2）为什么要用 long term 的 rf？

还是因为 GK model 属于未来估计法 forward-looking approach

计算 ERP 是为了统计 cost of equity

而股票假设是永续经营，所以为了匹配期限，Rm - rf 的 rf 我们用长期

也请参考基础班讲义墨迹版 P173

如果是历史估计法 historical approach 计算 ERP 

rf 的选择，则取决于分析师的判断，可长可短，各有优劣

请参考基础班讲义墨迹版 P133

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