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senyyf · 2024年04月28日

这题g的计算

  1. CFA II
  2. Corporate Issuers

NO.PZ2023040402000022

问题如下：

Jose Rivera estimates the forward-looking equity risk premium using the Gordon growth model (GGM). Rivera adds 1.50% to the risk premium he has computed to account for the additional small firm risk premium associated with BTP.


Using Exhibit 1 and Rivera's adjustment, the risk premium for BTP stock according to the Gordon growth model is closest to:

选项：

A.

5.77%.

B.

5.61%.

C.

7.02%.

解释：

First compute the GGM equity risk premium and then add Rivera’s adjustment for small firm risk premium. Computations are as follows:

GGM equity risk premium estimate = Dividend yield on the index based on year-ahead aggregate forecasted dividends and aggregate market value + Consensus long-term earnings growth rate ̶ Current long-term government bond yield


D0=31.25，D1=33.6，算出来g=（D1/D0）-1=7.52%，为啥要用6%？

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王琛_品职助教 · 2024年04月30日

嗨，努力学习的PZer你好：


earnings growth rate 也不是dividend growth rate啊，收入增长率跟分红增长率也不一样吧

1

GGM 当中，确实没有提到 earnings growth rate 等于 dividend growth rate

但如果是 sustainable growth rate，earnings growth rate 就等于 dividend growth rate 了

2

当然，题目中也没有明说是 sustainable growth rate

但是表格中只有一个 g，只能使用这个 g 代入公式哈

另外，同学使用 0 时刻和 1 时刻，求出来的 g 也是没有意义的

毕竟 GGM 的本质，看的是 D1 及以后的分红的增长率

3

这个题我觉得咱们把握好使用 GGM 计算 ERP 即可，关于 g 的细节，个人认为并不是出题人想考查的重点哈

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王琛_品职助教 · 2024年04月29日

嗨，努力学习的PZer你好：


1

因为 GGM 是假设公司的 D，按照永续增长率持续的增长下去，而不是按照第 0 年到第 1 年之间的这个增长率永远增长下去

虽然大部分时候，我们用 GGM 公式都是用 V0 = D0*(1+g)/(r-g) 这个公式，但这里是默认公司从第 0 年就始终按照永续增长的 g 来增长了，那这个公式才能使用

2

而本题特别的是，短期的增长率（第 0 年到第 1 年）并不和永续增长率一样，那必须要按照长期增长率来计算才是符合 GGM 使用逻辑的

也就是下面题目截图中黄色的这个数据才是长期的永续增长率

而紫色两项计算的短期 g 不应该予以考虑

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

senyyf · 2024年04月29日

earnings growth rate 也不是dividend growth rate啊，收入增长率跟分红增长率也不一样吧

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