开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

IanZQ · 2023年04月17日

INFLATION RATE没找到

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000059

问题如下：

An Australian investor currently holds a A$240 million equity portfolio. He is considering rebalancing the portfolio based on an assessment of the risk and return prospects facing the Australian economy. Information relating to the Australian investment markets and the economy has been collected in the following table:

Using the information in the table and the Grinold–Kroner model, calculates the expected annual equity risk premium.

选项：

A.

6.25%

B.

3.95%

C.

3.45%

解释：

B is correct.

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%. Tus, the expected return is 2.4% + 7.3% – 3.45% = 6.25%.

Expected equity return – Current 10-year government bond yield =Expected equity risk premium

6.25% – 2.3% = 3.95%

解析：

从表格中直接可得Expected annual income return= 2.4%

The expected nominal earnings growth return=Expected annual real earnings growth + Expected inflation rate=5%+2.3%=7.3%

对于The expected repricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即： (14−14.5)/14.5 =−3.45%.

所以最终的收益率为2.4% + 7.3% – 3.45% = 6.25%.

Expected annual equity risk premium=Expected equity return –Current 10-Year government bond yield=6.25% – 2.3% = 3.95%

注意到上述公式中之所以使用10-Year government bond的当前收益率是因为题目中没有给出与之对应的未来收益率，所以我们只能用当前收益率作为替代。

The expected nominal earnings growth return=Expected annual real earnings growth + Expected inflation rate=5%+2.3%=7.3%，请问课程里面哪里提到了INFLATION RATE?没找到这个知识点。谢谢！

添加评论
1 个答案

笛子_品职助教 · 2023年04月18日

嗨，努力学习的PZer你好：


The expected nominal earnings growth return=Expected annual real earnings growth + Expected inflation rate=5%+2.3%=7.3%，请问课程里面哪里提到了INFLATION RATE?没找到这个知识点。谢谢！


这个知识点需要我们进行推导。

在一级我们学过一个名义GDP计算公式：预期名义GDP增长率 = 预期实际GDP增长率 + 预期通胀率。

由此可以得出一个原理：名义值 = 实际值 + 通胀率。


运用到本题，名义股票盈利增长率 = 实际股票盈利增长率 + 通胀率。

因此得出公式：

The expected nominal earnings growth return=Expected annual real earnings growth + Expected inflation rate=5%+2.3%=7.3%

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 1

    关注

  • 483

    浏览
相关问题

NO.PZ2018091901000059 问题如下 Australiinvestor currently hol a A$240 million equity portfolio. He is consiring rebalancing the portfolio baseon assessment of the risk anreturn prospects facing the Australieconomy. Information relating to the Australiinvestment markets anthe economy hbeen collectein the following table: Using the information in the table anthe GrinolKroner mol, calculates the expecteannuequity risk premium. A.6.25% 3.95% C.3.45% B is correct.The GrinolKronermol states ththe expectereturn on equity is the sum of the expectencome return (2.4%), the expectenominearnings growth return (7.3% = 2.3%from inflation + 5.0% from reearnings growth) anthe expecterepricingreturn (–3.45%). The expectechange in market valuation of –3.45% iscalculatethe percentage change in the P/E level from the current 14.5× tothe expectelevel of 14.0×: (14 – 14.5)/14.5 =–3.45%. Tus, the expectereturnis 2.4% + 7.3% – 3.45% = 6.25%.Expecteequityreturn – Current 10-yegovernment bonyiel=Expecteequity risk premium6.25% – 2.3% =3.95%解析从表格中直接可得Expectennuincome return= 2.4%The expecteominearnings growth return=Expecteannureearnings growth + Expectenflation rate=5%+2.3%=7.3%对于The expecteepricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即 (14−14.5)/14.5 =−3.45%.所以最终的收益率为2.4% + 7.3% – 3.45% =6.25%.Expecteannualequity risk premium=Expecteequity return –Current 10-Yeargovernment bonyiel6.25% – 2.3% = 3.95%注意到上述公式中之所以使用10-Yeargovernment bon当前收益率是因为题目中没有给出与之对应的未来收益率，所以我们只能用当前收益率作为替代。 如题

2024-07-11 21:07 1 · 回答

NO.PZ2018091901000059问题如下 Australiinvestor currently hol a A$240 million equity portfolio. He is consiring rebalancing the portfolio baseon assessment of the risk anreturn prospects facing the Australieconomy. Information relating to the Australiinvestment markets anthe economy hbeen collectein the following table: Using the information in the table anthe GrinolKroner mol, calculates the expecteannuequity risk premium. A.6.25% 3.95% C.3.45% B is correct.The GrinolKronermol states ththe expectereturn on equity is the sum of the expectencome return (2.4%), the expectenominearnings growth return (7.3% = 2.3%from inflation + 5.0% from reearnings growth) anthe expecterepricingreturn (–3.45%). The expectechange in market valuation of –3.45% iscalculatethe percentage change in the P/E level from the current 14.5× tothe expectelevel of 14.0×: (14 – 14.5)/14.5 =–3.45%. Tus, the expectereturnis 2.4% + 7.3% – 3.45% = 6.25%.Expecteequityreturn – Current 10-yegovernment bonyiel=Expecteequity risk premium6.25% – 2.3% =3.95%解析从表格中直接可得Expectennuincome return= 2.4%The expecteominearnings growth return=Expecteannureearnings growth + Expectenflation rate=5%+2.3%=7.3%对于The expecteepricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即 (14−14.5)/14.5 =−3.45%.所以最终的收益率为2.4% + 7.3% – 3.45% =6.25%.Expecteannualequity risk premium=Expecteequity return –Current 10-Yeargovernment bonyiel6.25% – 2.3% = 3.95%注意到上述公式中之所以使用10-Yeargovernment bon当前收益率是因为题目中没有给出与之对应的未来收益率，所以我们只能用当前收益率作为替代。 为什么不是以1年期国债作为基准

2024-07-08 10:53 1 · 回答

NO.PZ2018091901000059 问题如下 Australiinvestor currently hol a A$240 million equity portfolio. He is consiring rebalancing the portfolio baseon assessment of the risk anreturn prospects facing the Australieconomy. Information relating to the Australiinvestment markets anthe economy hbeen collectein the following table: Using the information in the table anthe GrinolKroner mol, calculates the expecteannuequity risk premium. A.6.25% 3.95% C.3.45% B is correct.The GrinolKronermol states ththe expectereturn on equity is the sum of the expectencome return (2.4%), the expectenominearnings growth return (7.3% = 2.3%from inflation + 5.0% from reearnings growth) anthe expecterepricingreturn (–3.45%). The expectechange in market valuation of –3.45% iscalculatethe percentage change in the P/E level from the current 14.5× tothe expectelevel of 14.0×: (14 – 14.5)/14.5 =–3.45%. Tus, the expectereturnis 2.4% + 7.3% – 3.45% = 6.25%.Expecteequityreturn – Current 10-yegovernment bonyiel=Expecteequity risk premium6.25% – 2.3% =3.95%解析从表格中直接可得Expectennuincome return= 2.4%The expecteominearnings growth return=Expecteannureearnings growth + Expectenflation rate=5%+2.3%=7.3%对于The expecteepricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即 (14−14.5)/14.5 =−3.45%.所以最终的收益率为2.4% + 7.3% – 3.45% =6.25%.Expecteannualequity risk premium=Expecteequity return –Current 10-Yeargovernment bonyiel6.25% – 2.3% = 3.95%注意到上述公式中之所以使用10-Yeargovernment bon当前收益率是因为题目中没有给出与之对应的未来收益率，所以我们只能用当前收益率作为替代。 计算equity risk premium时，在题中有当前10年起国债收益率和历史平均10年期国债收益率时，为什么不选择平均10年期国债收益率做为基准？平均数不是更可靠吗？

2024-02-19 21:59 2 · 回答

NO.PZ2018091901000059 问题如下 Australiinvestor currently hol a A$240 million equity portfolio. He is consiring rebalancing the portfolio baseon assessment of the risk anreturn prospects facing the Australieconomy. Information relating to the Australiinvestment markets anthe economy hbeen collectein the following table: Using the information in the table anthe GrinolKroner mol, calculates the expecteannuequity risk premium. A.6.25% 3.95% C.3.45% B is correct.The GrinolKronermol states ththe expectereturn on equity is the sum of the expectencome return (2.4%), the expectenominearnings growth return (7.3% = 2.3%from inflation + 5.0% from reearnings growth) anthe expecterepricingreturn (–3.45%). The expectechange in market valuation of –3.45% iscalculatethe percentage change in the P/E level from the current 14.5× tothe expectelevel of 14.0×: (14 – 14.5)/14.5 =–3.45%. Tus, the expectereturnis 2.4% + 7.3% – 3.45% = 6.25%.Expecteequityreturn – Current 10-yegovernment bonyiel=Expecteequity risk premium6.25% – 2.3% =3.95%解析从表格中直接可得Expectennuincome return= 2.4%The expecteominearnings growth return=Expecteannureearnings growth + Expectenflation rate=5%+2.3%=7.3%对于The expecteepricing return，我们可以通过预期P/E值与当前P/E值得变化率求出，即 (14−14.5)/14.5 =−3.45%.所以最终的收益率为2.4% + 7.3% – 3.45% =6.25%.Expecteannualequity risk premium=Expecteequity return –Current 10-Yeargovernment bonyiel6.25% – 2.3% = 3.95%注意到上述公式中之所以使用10-Yeargovernment bon当前收益率是因为题目中没有给出与之对应的未来收益率，所以我们只能用当前收益率作为替代。 ①vinyielExpecteannuincome return= 2.4%②The expectenominearnings growth return=Expecteannureearnings growth + Expecteinflation rate=5%+2.3%=7.3%③%△P/E=The expecterepricing return (14−14.5)/14.5 =−3.45%.④%△S=0（题目没有说默认为0）所以最终的收益率为2.4% + 7.3% – 3.45% = 6.25%.

2023-04-17 02:13 1 · 回答