NO.PZ2022122601000067
问题如下：
Conner Young is an economist at a multi-strategy asset management firm. Each year, he provides his firm with a report that includes a series of market forecasts. As part of his report, Young uses the Grinold-Kroner model to forecast the expected rate of return on equities for the next 10 years. He uses the data in Exhibit 1 to prepare his forecast.
Determine the following sources of return for equities, according to the Grinold-Kroner model, using Young’s forecasts:
i. Expected nominal earnings growth return
ii. Expected repricing return
iii. Expected income return
Show any calculations.
选项：
解释：
Correct Answer:
The Grinold-Kroner model is used to determine the expected return on equities, taking explicit account of share repurchases. This model provides a means for analysts to incorporate expectations of valuation levels through changes in the P/E ratio.
i. Expected nominal earnings growth return = expected inflation rate plus expected real total earnings growth rate = 1.20% + 2.50% = 3.70%
ii. Expected repricing return = per period percentage change in the P/E multiple = 0.50%
iii. Expected income return = expected dividend yield minus expected percentage change in number of shares outstanding = 1.80% – (–0.30%) = 2.10%
中文解析：
格林诺德-克朗模型被用来确定股票的预期回报，明确考虑了股票回购。该模型为分析师提供了一种通过市盈率变化来纳入估值水平预期的方法。
股息收益率=1.80%
市盈率的变化=0.50%
通货膨胀率=1.20%
流通股数量的变化=-0.30%
实际总收益增长率=2.50%
i.预期名义收益增长回报率=预期通货膨胀率加上预期实际总收益增长率= 1.20% + 2.50% = 3.70%
2预期重新定价收益=每一时期的市盈率变化百分比= 0.50%
3预期收益回报率=预期股息收益率减去预期流通股数量变化百分比= 1.80% - (- 0.30%)= 2.10%
Expected nominal earnings growth return=real total earning growth return+inflation rate=2.5%+1.2%=3.7%
expected repricing return=chang in P/E multiple=0.5%
expected income return=dividend yield-change in number of share outstanding=1.8%-(-0.3%)=2.1%
