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helenababe · 2023年05月28日

%△E的计算为什么直接用expected real的数值+inflation，而不是计算相比current的变化量呢？

  1. CFA III
  2. Capital Market Expectations

NO.PZ2018091901000058

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, calculate the expected annual equity return using the Grinold–Kroner model (assume no change in the number of shares outstanding).

选项：

A.

6.25%

B.

-3.45%

C.

7.3%

解释：

A 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%.

解析：Grinold-Kroner model计算收益率时包含以下三个部分： the expected income return, the expected nominal earnings growth return 以及 the expected repricing return。那么我们就分别求解这三部分。

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%.

 

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1 个答案

源_品职助教 · 2023年05月29日

嗨，从没放弃的小努力你好：


因为题目说的是calculate the expected annual equity return

也就是要求的预期，预期就得用预期的-当前的

如果用当前的-历史的，那求出来的结果就不是预期的。

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NO.PZ2018091901000058 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, calculate the expecteannuequity return using the GrinolKroner mol (assume no change in the number of shares outstanng). A.6.25% B.-3.45% C.7.3% A 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% is calculates the percentage change in the P/E level from the current 14.5× to theexpectelevel of 14.0×: (14 – 14.5)/14.5 =–3.45%. Tus, theexpectereturn is 2.4% + 7.3% – 3.45% = 6.25%.解析GrinolKronermol计算收益率时包含以下三个部分 the expecteincome return, the expectenominearnings growthreturn 以及 the expecterepricing return。那么我们就分别求解这三部分。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%. 请问这里的share repricing为啥不可以用期初的15x去计算？

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