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dejiazheng · 2023年12月17日

想明确g和s的选择，提问如下

  1. CFA II
  2. Corporate Issuers

* 问题详情，请 查看题干

NO.PZ202210140200000104

问题如下：

An estimate of the ERP consistent with the Grinold-Kroner model is closest to

选项：

A.

2.7%

B.

3.0%

C.

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.

1、g为什么不能选择Forecasted public company earnings growth？使用企业增长率会否更合适？

2、对△s的加减不明确，代表的是股份增加数还是股份回购数？请针对考试提供简单明确的判断方法






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1 个答案

王琛_品职助教 · 2023年12月19日

嗨，从没放弃的小努力你好：


1）g 为什么不能选择 Forecasted public company earnings growth？使用企业增长率会否更合适？

1.1

这是原版书更新时的遗留问题哈，结论是：咱们不用管，表格中的这行可以直接删掉，考试时也不会在这里出陷阱为难考生

下面是详细解释

1.2

2024 年的企业发行人学科中，第三章 Cost of Capital: Advanced Topics，其实是根据 2022 年及之前考纲中的权益学科的 Return Concepts 章节改写的

同学所问的这道课后题，原来就是权益学科的课后题

但是协会在更新课后题时，我个人认为是有些细节没有考虑周全

1.3

首先，2022 权益的课后题，考点是 Ibbotson–Chen earnings model，并不是 GK Model

其次，案例背景中，其实有交代这两个指标的预测背景

Stock returns over 2012 to 2016 reflect the setbacks, but economists predict the country will be on a path of a 4% real GDP growth rate by 2019.

即到 2019 年，GDP 增长率将达到 4%。但并不是 2019 年之后 GDP 的增速，所以权益的课后题，其实使用的就是同学问的 Forecasted public company earnings growth

1.4

说回 2024 企业发行人学科的课后题，案例背景中，并没有提到指标的预测背景，我个人认为是协会忘记删除 Forecasted public company earnings growth 了，所以咱们直接删除即可，不需要深究

考试时会常规，直接代公式即可，因为公式本来就不好记，所以不会再在单独指标里面出陷阱让大家辨析了

1.5

我在课后题讲解时，也有提到指标删除的事哈，请参考课后题讲解截图

也感谢同学的提醒，我会在后台题库更新表格数据，删除这行指标，避免之后做题的同学再有疑问

2）对 △s 的加减不明确，代表的是股份增加数还是股份回购数？请针对考试提供简单明确的判断方法

2.1

其实同学问的是两个不同的维度

第一个维度，是 △s 的正负所对应的实务含义

△s 代表公司在外发行股份数的变化，是用变化后的股份数，减去变化前的股份数

如果 △s 为正，说明股份数增加，对应的实务场景是增发股票

如果 △s 为负，说明股份数减少，对应的实务场景是回购股票

2.2

第二个维度，是 GK Model 的公式推导中，△s 前面的符号是负号

之所以会引出 △s，其实背景是 △EPS 的变化率，等于 △E 的变化率，减去 △s 的变化率

因为 EPS = Earnings 除以 Shares

也请参考基础班讲义墨迹版 P147 

2.3

备注：2023 年的原版书，△s 前面的符号还是正号，但是 2024 的原版书，已经勘误了，更新为了更符合推导逻辑的负号

我已经更新了 2024 的视频和讲义，按理说是不会再有加号的内容了

同学的最后一张截图，请问方便说一下具体出处吗？我再确认一下，看是不是还有遗漏的地方，谢谢同学

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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