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Lich · 2023年07月20日

pe ratio会考虑增长的问题，如果是dividend growth并不会，请教老师为啥呢

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000073

问题如下：

Fiske prefers to forecast the average annual return for US large-cap equities over the next 10 years using the Grinold–Kroner model and the data in Exhibit 2.

Using the data in Exhibit 2 and Fiske’s preferred approach, the estimated expected annual return for US large-cap equities over the next 10 years is closest to:

选项：

A.7.9% B.7.6% C.7.4%

解释：

Correct Answer: B

The Grinold–Kroner model formula is E(R) = D/P ‒ ∆S + i + g + ∆P/E

First, compute the compound annual growth rate of the P/E: (15.0/15.6)1/10 – 1 = ‒0.4%.

Next, compute, as a percentage, the expected return per the Grinold–Kroner model formula:

E(R) = 2.1 ‒ (‒1.0) + 2.3 + 2.6 – 0.4 = 7.6

中文解析：

Grinold-Kroner模型公式为E(R) = D/P -∆S + i + g +∆P/E

首先，计算市盈率的复合年增长率:(15.0/15.6)1/10 - 1 = - 0.4%。

接下来，根据Grinold-Kroner模型公式，以百分比计算预期收益:

E(r) = 2.1 - (- 1.0) + 2.3 + 2.6 - 0.4 = 7.6

如题

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1 个答案

笛子_品职助教 · 2023年07月21日

嗨，努力学习的PZer你好：


pe ratio会考虑增长的问题，如果是dividend growth并不会，请教老师为啥呢


这里是股息率，并没有提到股息增长的问题哦。

因为如果业绩增长了，股息也会增长，但是股息率不变。

Grinold-Kroner模型公式为E(R) = D/P -∆S + i + g +∆P/E

比如业绩增长10%，股价也增长10%，此时分红率不变，股息也增长10%。股息率D/P，不会变。


比如原来，股息1元，股价100元。现在股息1.1元，股价110元。股息率还是1%。


所以在GK模型这里，并没有dividend growth的数据。


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