karweillas · 2024年07月03日
NO.PZ2022101402000009
问题如下：
An analyst is estimating a forward-looking ERP for a market based on the following information:
Using the Grinold-Kroner model, the estimates of the ERP is closest to:
选项：
A.2.16%
B.4.24%
5.18%
解释：
B is correct.
The ERP using the forward-looking approach is calculated as
ERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96
ERP = 5.20 – 0.96 = 4.24%.
答案中算式为什么还有“-0 ”这一项呢？
ERP=D1/P0 + △P/P
=D1/P0 + △P/E +△EPS
这里的△EPS不就是“expected growth of real EPS=2.7%”吗？
王琛_品职助教 · 2024年07月04日
嗨，爱思考的PZer你好：
1
-0 代表的是减去股份数的变化 △S
△EPS 又分解为 △E - △S
在企业发行人学科中，△S 一般都是 0
2
△E 又分解为 g + i
g 代表 Expected growth rate in real earnings per share，或者说是 Real GDP growth
i 代表 Expected inflation
3
具体公式及指标含义，请参考基础班讲义墨迹版 P146
具体推导，也请参考基础班讲义墨迹版 P147
----------------------------------------------努力的时光都是限量版，加油！
NO.PZ2022101402000009问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16%B.4.24%C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 老师好，看了其他同学的问题回复，还是不太理解，为什么不用3.15%老师的回复里面说了，这里属于look-forwarmol，要用长期，但是因为题目没有给长期，所以只能用短期。但是题目给了长期啊，3.15%就是长期啊。谢谢老师！
NO.PZ2022101402000009问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16%B.4.24%C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 这里的rf不是回归的值么，是不是应该用历史的短期债来回归出来，还是直接就用当前的短期债
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. Expecteincome component，对应 。这个东西为什么老师上课讲的时候是对应的分红部分呢（见下图）
NO.PZ2022101402000009 问题如下 analyst is estimating a forwarlooking ERP for a market baseon the following information:Using the GrinolKroner mol, the estimates of the ERP is closest to: A.2.16% B.4.24% C.5.18% B is correct.The ERP using the forwarlooking approais calculateasERP = {1.8 – 1.2 + (1.9 + 2.7 – 0.0)} – 0.96ERP = 5.20 – 0.96 = 4.24%. 1.8%-1.2%是什么意思
