张文文 · 2023年08月08日
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%
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%.
老师请问这里为什么不用3.15%那个short term govt bond利率呢？
王琛_品职助教 · 2023年09月20日
嗨，努力学习的PZer你好：
1
同学好，我之前的回答有误，请以下面最新的回答为准
从出题人设计表格的思路来看
Current three-month government bond yield，用于未来估计法中 GK Model 中的 rf
表格最后两行，用于历史估计法：the ERP using the historical approach is calculated as 9.96% – 3.15% = 6.81%
区别就是，在 GK Model 中使用的 rf，是当前的利率 current
2
另外需要注意，其实表格最后一行的数据，还是短期利率，long term 只是用来形容统计回测的时间，是长期
但是统计的主体，还是短期利率，参考最后一行的最后几个单词：... of short-term government bond
本来未来估计法的 GK Model，rf 是要用长期的
但是这道题比较特殊，没有提供长期利率，所以只能使用短期利率
关键是使用当前的利率，参考关键词 Current
----------------------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 答案中算式为什么还有“-0 ”这一项呢？ERP=/P0 + △P/P=/P0 + △P/E +△EPS这里的△EPS不就是“expectegrowth of reEPS=2.7%”吗？
NO.PZ2022101402000009问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16%B.4.24%C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 这里的rf不是回归的值么，是不是应该用历史的短期债来回归出来，还是直接就用当前的短期债
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. Expecteincome component，对应 。这个东西为什么老师上课讲的时候是对应的分红部分呢（见下图）
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 1.8%-1.2%是什么意思
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 为什么用0.96 不用 3.15？
