NO.PZ202304040200002103
问题如下：
An estimate of the ERP consistent with the Grinold-Kroner model is closest to:
选项：
A.2.7%.
3.0%.
4.3%.
解释：
B is correct.
i = 4% per year (long-term forecast of inflation)
g = 4% per year (growth in real GDP)
Δ(P/E0 = 1% per year (growth in market P/E)
dy = 1% per year (dividend yield or the income portion)
Risk-free return = rf = 7% per year (for 10-year maturities)
Using the Grinold-Kroner model, the ERP estimate is
ERP = {1.0 + 1.0 +[4.0 + 4.0 + 0.0)] } – 7.0 = 3.0%.
The premium of 3.0% compensates investors for average market risk, given expectations for inflation, real earnings growth, P/E growth, and anticipated income.
