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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年01月08日

GK model中的ΔP/E是market的还是public company的?

  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.

老师好，这题我做对了，但是我对ΔP/E的选择有点疑惑: 此题的ΔP/E是forecasted market P/E growth，如果表格中有个forecasted public company P/E growth，那能用forecasted public company P/E growth吗? 还是说，GK model中的ΔP/E就是market的? public company和market好多时候都是一个意思，所以我才有这个疑问，谢谢!

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王琛_品职助教 · 2023年01月10日

嗨，努力学习的PZer你好：


1）还是说，GK model中的ΔP/E就是market的? public company和market好多时候都是一个意思，所以我才有这个疑问，谢谢!

GK Model 中的 P/E 指的是上市公司股票指数的数据

因为非上市公司，监管不要求披露财务信息，所以 E 很难获取；其次也没有公开市场报价，所以 P 很难获取

也请参考原版书 P260 第一段最后一句话，涉及 GK Model 的适用范围

对于发达经济体，模型可能更可靠，因为其上市公司的股票市值在经济中占比较大

"These models might be more reliable when public equities represent a relatively large share of the economy, as in many developed markets."

2）老师好，这题我做对了，但是我对ΔP/E的选择有点疑惑: 此题的ΔP/E是forecasted market P/E growth，如果表格中有个forecasted public company P/E growth，那能用forecasted public company P/E growth吗?

我理解出题人不会在这里考查大家哈，因为就像同学说的，是一个意思

而且 GK Model 本身涉及多个指标，从考查记忆角度来说，已经有点难度了

根据原版书例题和课后题的考法，都是会代入对应指标即可

从这道课后题的考查角度来说，只是在 inflation 方面，需要大家辨析是使用当前的数据，还是使用预测的数据，仅从而已哈

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