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秋樣 · 2024年01月27日

CME - LT equity return

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202105270100000201

问题如下：

Calculate the implied contribution to Cambo’s US equity return forecast from the expected change in the P/E.

解释：

The growth rate in the aggregate market value of equity is expressed as a sum of the following four factors: (1) growth rate of nominal GDP, (2) the change in the share of profits in GDP, (3) the change in P/E, and (4) the dividend yield. The growth rate of nominal GDP is the sum of the growth of real GDP and inflation.

The growth rate of real GDP is estimated as the sum of the growth rate in the labor input and the growth rate in labor productivity. Based on the chief economist’s estimates, the macroeconomic forecast indicates that nominal GDP will increase by 4.0% (= 0.5% labor input + 1.3% productivity + 2.2% inflation).

Assuming a 2.8% dividend yield and no change in the share of profits in the economy, Cambo’s forecast of a 9.0% annual increase in equity returns implies a 2.2% long-term contribution (i.e., 9.0% equity return − 4.0% nominal GDP − 2.8% dividend yield) from an expansion in the P/E.

权益总市值的增长率表示为以下四个因素的总和:(1)名义GDP增长率，(2)利润占GDP份额的变化，(3)市盈率的变化，(4)股息收益率。名义GDP增长率是实际GDP增长率和通货膨胀率之和。

实际GDP增长率估计为劳动投入增长率与劳动生产率增长率之和。根据首席经济学家的预测，宏观经济预测显示，名义GDP将增长4.0%(= 0.5%的劳动投入+ 1.3%的生产率+ 2.2%的通货膨胀)。

假设股息收益率为2.8%，且利润在经济中所占的份额不变，Cambo预测股权回报年增长率为9.0%，这意味着市盈率的为2.2%(即9.0%股权回报- 4.0%名义GDP - 2.8%股息收益率)

你好，这道题我有个困惑。我记得股票的长期收益是income return ➕ GDP%，为啥这道题说了LT equity return，计算的时候又要用到E/GDP，P/E呢？

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源_品职助教 · 2024年01月29日

嗨，爱思考的PZer你好：


同学的理解是有道理的，本题原是PE的题目，出的不严谨。

它其实是想让大家用短期公式做题，所以题目中写了一句“forecast assumes no change in the share of profits in the economy,”

即，它只认为，E/GDP这一项的变化等于0，但是P/E这一项变化不等于0，否则，P/E这项也不用求了。

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NO.PZ202105270100000201 问题如下 Calculate the impliecontribution to Cambo’s US equity return forecast from the expectechange in the P/E. The growth rate in the aggregate market value of equity is expressea sum of the following four factors: (1) growth rate of nominG, (2) the change in the share of profits in G, (3) the change in P/E, an(4) the vinyiel The growth rate of nominG is the sum of the growth of reG aninflation. The growth rate of reG is estimatethe sum of the growth rate in the labor input anthe growth rate in labor proctivity. Baseon the chief economist’s estimates, the macroeconomic forecast incates thnominG will increase 4.0% (= 0.5% labor input + 1.3% proctivity + 2.2% inflation). Assuming a 2.8% vinyielanno change in the share of profits in the economy, Cambo’s forecast of a 9.0% annuincrease in equity returns implies a 2.2% long-term contribution (i.e., 9.0% equity return − 4.0% nominG − 2.8% vinyiel from expansion in the P/E.权益总市值的增长率表示为以下四个因素的总和:(1)名义G增长率，(2)利润占G份额的变化，(3)市盈率的变化，(4)股息收益率。名义G增长率是实际G增长率和通货膨胀率之和。实际G增长率估计为劳动投入增长率与劳动生产率增长率之和。根据首席经济学家的预测，宏观经济预测显示，名义G将增长4.0%(= 0.5%的劳动投入+ 1.3%的生产率+ 2.2%的通货膨胀)。假设股息收益率为2.8%，且利润在经济中所占的份额不变，Cambo预测股权回报年增长率为9.0%，这意味着市盈率的为2.2%(即9.0%股权回报- 4.0%名义G - 2.8%股息收益率) 如题。

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NO.PZ202105270100000201 问题如下 Calculate the impliecontribution to Cambo’s US equity return forecast from the expectechange in the P/E. The growth rate in the aggregate market value of equity is expressea sum of the following four factors: (1) growth rate of nominG, (2) the change in the share of profits in G, (3) the change in P/E, an(4) the vinyiel The growth rate of nominG is the sum of the growth of reG aninflation. The growth rate of reG is estimatethe sum of the growth rate in the labor input anthe growth rate in labor proctivity. Baseon the chief economist’s estimates, the macroeconomic forecast incates thnominG will increase 4.0% (= 0.5% labor input + 1.3% proctivity + 2.2% inflation). Assuming a 2.8% vinyielanno change in the share of profits in the economy, Cambo’s forecast of a 9.0% annuincrease in equity returns implies a 2.2% long-term contribution (i.e., 9.0% equity return − 4.0% nominG − 2.8% vinyiel from expansion in the P/E.权益总市值的增长率表示为以下四个因素的总和:(1)名义G增长率，(2)利润占G份额的变化，(3)市盈率的变化，(4)股息收益率。名义G增长率是实际G增长率和通货膨胀率之和。实际G增长率估计为劳动投入增长率与劳动生产率增长率之和。根据首席经济学家的预测，宏观经济预测显示，名义G将增长4.0%(= 0.5%的劳动投入+ 1.3%的生产率+ 2.2%的通货膨胀)。假设股息收益率为2.8%，且利润在经济中所占的份额不变，Cambo预测股权回报年增长率为9.0%，这意味着市盈率的为2.2%(即9.0%股权回报- 4.0%名义G - 2.8%股息收益率) 老师其他部分算对了，但是有个问题就是△%G=1.3%+0.5%=1.8%，算出来的是实际的G吗，我记得二级经济学里面也有这个计算，但是没印象这种算法，算出来是实际的还是名义的了

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