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chiara9009 · 2023年08月01日

GK模型中%△E / %△g为何是nominal/ real earning per share变化,而不是总earning变化

NO.PZ2022101402000009

问题如下:

An analyst is estimating a forward-looking ERP for a market based on the following information:


Using the Grinold-Kroner model, the estimates of the ERP is closet to:

选项:

A.

2.16%

B.

4.24%

C.

5.18%

解释:

B is correct.

The ERP using the forward-looking approach is calculated as

ERP = {1.8 – 1.2 + (1.9 + 2.7 + 0.0)} – 0.96

ERP = 5.20 – 0.96 = 4.24%.

GK模型推导如下:

ERP=Rm-Rf

=D1/P+△P/P-Rf

=D1/P+%△P-Rf

=D1/P+[ %△(P/E)+%△EPS]-Rf

=D1/P+[ %△(P/E)+%△E-%△S]-Rf ②(由%△EPS=%△E-%△S得到

=D1/P+[ %△(P/E)+%△g+%△i-%△S]-Rf ③(由%△E=%△g+%△i得到


我的理解%△g应该是Expected growth in real earnings而不是Expected growth in real earnings per share,因为 ②中 %△EPS=%△E-%△S,已经将每股收益的变化拆解为总earning变化-由回购引起的股数的变化,%△E中已经是总earning变化(而非每股收益的变化)。


推导过程中,%△E或%△g已经剔除股数,应该是总的nominal 或 real earning变化,为什么还是earning per share 的概念?

1 个答案
已采纳答案

王琛_品职助教 · 2023年08月02日

嗨,从没放弃的小努力你好:


我的理解%△g应该是Expected growth in real earnings而不是Expected growth in real earnings per share,因为 ②中 %△EPS=%△E-%△S,已经将每股收益的变化拆解为总earning变化-由回购引起的股数的变化,%△E中已经是总earning变化(而非每股收益的变化)。

1

是的,同学的理解是正确的

%△E 指的确实是总的 earning 的变化

2

这道题是原版书 P263 的例题 3

参考的是原版书 P260 的表格

g 应该是指 Real GDP growth,但是根据表格的含义,实际计算的时候,如果没有告诉 Real GDP growth,也可以用 Expected growth rate in real earnings per share

我理解是这两个数据比较相近,所以可以近似使用后者

3

从备考建议来说,我个人认为还是理解记忆 g 是 Real GDP growth 比较好

从公式推导的角度,也非常顺畅

这道题了解一下即可,不建议深究,把握好 GK 模型的公式,考试能根据表格数据带入计算即可

----------------------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!

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