NO.PZ202206070100000104
问题如下：
Brian O'Reilly Case ScenarioBrian O’Reilly is a capital markets consultant for the Tennessee Teachers’ Retirement System (TTRS). O’Reilly is meeting with the TTRS board to present his capital market expectations for the next year. Board member Kay Durden asks O’Reilly about the possibility that data measurement biases exist in historical data. O’Reilly responds:
“One bias results from the use of appraisal data in the absence of market transaction data. Appraisal values tend to be less volatile than market determined values for identical assets. As a result, measured volatilities are biased downward and correlations with other assets tend to be exaggerated.”
Board member Arnold Brown asks O’Reilly about the use of high-frequency (daily) data in developing capital market expectations. O’Reilly answers, “Sometimes it is necessary to use daily data to obtain a data series of the desired length. Ironically, high-frequency data improves the precision of sample variances, covariances, and correlations but not the precision of the sample mean. High-frequency data are more sensitive to asynchronism across variables.”
Durden states that he recently read an article on psychological biases related to making accurate and unbiased forecasts. She asks O’Reilly to inform the board about the anchoringand prudence biases. O’Reilly offers the following explanation:
“The anchoring bias is the tendency for forecasts to be overly influenced by the memory of catastrophic or dramatic past events that are anchored in a person’s memory. The confirming evidence trap is the bias that leads individuals to give greater weight to information that supports a preferred viewpoint than to evidence that contradicts it.”
The board asks about forecasting expected returns for major markets, given that price earnings ratios are not constant over time and that many companies are repurchasing shares instead of increasing cash dividends. O’Reilly responds that the Grinold–Kroner model accounts for those factors and then makes the following forecasts for the European equity market:
The dividend yield will be 1.95%.
Shares outstanding will decline 1.00%.
The long-term inflation rate will be 1.75% per year.
An expansion rate for P/E multiples will be 0.15% per year.
The long-term corporate earnings growth premium will be 1% above expected real GDP growth.
Expected real GDP growth will be 2.5% per year.
The risk-free rate will be 2.0%.
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。
请问老师，%ΔE为corporate earnings growth而非GDP growth 对么
