NO.PZ2022122601000062
问题如下：
Robert Spencer is a market forecaster with Windsor Investment Management, a U.K.-based wealth management firm. Spencer is asked to review the current economic conditions and market outlook for the U.K. and to set long-term market return expectations for domestic equities. These expectations will form the basis of Windsor’s future client asset allocations. Spencer gathers the U.K. capital market data displayed in Exhibit 1.
A. Determine, using the information in Exhibit 1 and the Grinold-Kroner model, the component sources of the historical nominal return for U.K. equities:
i. income return
ii. earnings growth
iii. repricing return
选项：
解释：
Correct Answer:
The Grinold-Kroner model can be expressed as: E(Re) = (D/P - ΔS) + (i + g) + ΔPE
Or E(Re) = Income return + Earnings growth + Repricing return
i. Income return is the sum of the dividend yield (i.e., D/P, which is 4.0%) and the equity repurchase yield (i.e., the negative of the expected change in shares outstanding, - ΔS) which is -0.5%. Therefore: Income return = D/P - ΔS = 4.0 - 0.5 = 3.5%
ii. Earnings growth is the sum of real growth in earnings and the inflation rate. This sum is shown in Exhibit 1: Earnings growth = 4.6% (given in Exhibit 1)
iii. Repricing return: Since the equity compounded annual growth rate is given in Exhibit 1to be E(Re) = 11.2%, the Grinold-Kroner model can be rearranged to solve for repricingreturn:11.2% = 3.5% + 4.6% + Repricing return .
Rearranging the
terms: Repricing return = 11.2% – 3.5% – 4.6% = 3.1%
中文解析：
Grinold-Kroner模型可以表示为:E(Re) = (D/P - ΔS) + (i + g) + ΔPE
或者E(Re) =收入回报+盈利增长+重新定价回报
1.收益回报是股息收益率(即D/P，为4.0%)和股票回购收益率(即预期流通股变动的负值，- ΔS)的总和，为-0.5%。因此:收益回报率= D/P - ΔS = 4.0 - 0.5 = 3.5%
2收益增长是实际收益增长和通货膨胀率的总和。这个数字如表1所示:收益增长= 4.6%(见表1)
3重新定价收益:由于在表1中给出的股票复合年增长率为E(Re) = 11.2%，因此可以重新排列Grinold-Kroner模型来求解重新定价收益:11.2% = 3.5% + 4.6% +重新定价收益。
重新安排条款:重新定价收益= 11.2% - 3.5% - 4.6% = 3.1%
5. 亚太地区房地产投资的预期收益=无风险利率加上风险溢价的加权平均值= 2.0% + 3.24% = 5.24%。
这里是直接加上了equity repurchase yield，也就是认为equity repurchase yield就是负的delta S而不是delta S？请问这里如何理解，麻烦老师解释一下？
