B Calculate the expected annual equity return using the Grinold–Kroner model (assume no change in the number of shares outstanding).
答案:
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%.(为什么不是7.3-8.3/8.3?)为什么不是一个变化率的概念?
C Using your answer to Part B, calculate the expected annual equity risk premium.