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Vivien · 2019年12月29日

问一道题：NO.PZ201512300100000304

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

问题如下：

4. A supply side estimate of the equity risk premium as presented by The Ibbotson Chen earnings model is closest to:

选项：

A.

3.2 percent.

B.

4.0 percent.

C.

4.3 percent.

解释：

C is correct.

According to this model, the equity risk premium is

Here: Equity risk premium = {[(1 + EINFL)(1 + EGREPS)(1 + EGPE) − 1.0] + EINC}−Expected risk-free return

EINFL = 4 percent per year (long-term forecast of inflation)

EGREPS = 5 percent per year (growth in real earnings)

EGPE = 1 percent per year (growth in market P/E ratio)

EINC = 1 percent per year (dividend yield or the income portion)

Risk-free return = 7 percent per year (for 10-year maturities)

By substitution, we get:{[(1.04)(1.05)(1.01) − 1.0] + 0.01} − 0.07 = 0.113 − 0.07 = 0.043 or 4.3 percent.

为什么这里的inflation 要用5%而不是文中提到的4%current inflation?

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1 个答案

maggie_品职助教 · 2019年12月30日

同学你是不是看串行了？本题的inflation用的是4%：


szxxx · 2020年01月06日

这位同学的意思应该是为什么用长期的inflation率而不用current 的inflation算？麻烦回答谢谢

maggie_品职助教 · 2020年01月07日

是这样的：1、这里是宏观模型是forward-looking estimate，模型要求用未来预测数据进行估计的模型（可以听下这部分的课程） 2、股票是一项长期投资，对他的估计都要用长期的预测数据。

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NO.PZ201512300100000304 问题如下 4. A supply si estimate of the equity risk premium presenteThe Ibbotson Chen earnings mol is closest to: A.3.2 percent. B.4.0 percent. C.4.3 percent. C is correct.Accorng to this mol, the equity risk premium is Here: Equity risk premium = {[(1 + EINFL)(1 + EGREPS)(1 + EGPE) − 1.0] + EINC}−Expecterisk-free returnEINFL = 4 percent per ye(long-term forecast of inflation)EGREPS = 5 percent per ye(growth in reearnings)EGPE = 1 percent per ye(growth in market P/E ratio)EINC = 1 percent per ye(vinyielor the income portion)Risk-free return = 7 percent per ye(for 10-yematurities)substitution, we get:{[(1.04)(1.05)(1.01) − 1.0] + 0.01} − 0.07 = 0.113 − 0.07 = 0.043 or 4.3 percent. 想问一下老师，这里的Risk-free return = 7 percent per ye为什么要用 10-yematurities？在Supply Si Estimates里，Rf是要用长期的吗？谢谢！

2022-10-09 19:55 2 · 回答

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NO.PZ201512300100000304 ic mol的别称叫什么呀

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