NO.PZ202206070100000104
问题如下：
Given O’Reilly’s forecasts for the European market, the expected long-term equity return using the Grinold–Kroner model is closest to:选项：
A.7.35%. B.6.35%. C.8.35%.解释：
Solution
C is correct. The Grinold–Kroner model estimates the expected return on equity as follows:
where
E(Re) = expected rate of return on equity
D/P = expected dividend yield
%ΔE = expected percent change in total earnings
%ΔS = expected percent change in number of shares outstanding
%ΔP/E = expected percent change in the price-to-earnings ratio
(%ΔE – %ΔS) = the growth rate of earnings per share
%ΔE = nominal earnings growth = real earnings growth + long-term inflation + corporate premium
=2.50% + 1.75% + 1.00%
=5.25%
Alternatively, the expected return from the Grinold–Kroner model can be expressed as the sum of:
Expected cash flow (Income) return: D/P – %ΔS = 1.95 – (1.00) = 2.95
Expected nominal earnings growth return = %ΔE = 5.25 (as shown above)
Expected Pricing return: %ΔP/E = 0.15
Expected Return = 8.35%
A is incorrect. It incorrectly omitted the decline in shares outstanding from the calculation.
B is incorrect. It incorrectly added the decline in shares outstanding instead of subtracting it.
C是正确的。Grinold-Kroner模型估计的预期股本回报率如下:
E(Re) =预期净资产收益率
D/P =预期股息收益率
%ΔE =总收益预期变化百分比
%ΔS =流通股数量的预期变动百分比
%ΔP/E =预期市盈率变动百分比
(%ΔE - %ΔS) =每股收益增长率
%ΔE =名义收益增长=实际收益增长+长期通胀+公司溢价
=2.50% + 1.75% + 1.00%
= 5.25%
或者，Grinold-Kroner模型的预期收益可以表示为:
预期现金流(收入)回报:D/P - %ΔS = 1.95 - (1.00) = 2.95
预期名义收益增长回报率= %ΔE = 5.25(如上所示)
预期定价回报率:%ΔP/E = 0.15
预期回报率= 8.35%
A是不正确的。它错误地从计算中忽略了流通股的下跌。
B是不正确的。它错误地增加了流通股跌幅，而不是减去它。
题目问 long term，难道不是S变化=0，P/E变化=0吗？
