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Monica219 · 2021年11月10日

这道题为什么不能用real GDP growth rate？

  1. CFA II
  2. Equity

* 问题详情，请 查看题干

NO.PZ201512300100000304

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.

这道题计算为什么用的是EGREPS = 5 percent per year (growth in real earnings) 而不是用的real GDP growth rate 4%算？

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王园圆_品职助教 · 2021年11月10日

嗨，爱思考的PZer你好：


同学你好，因为这里的real GDP growth rate只是预测到2009年的（题目倒数第5行--by 2009)——也就是说这个数据并不是一个真正长期的有效的增长率,

而后面的5%的earnings real growth rate 后面又跟了一句话--Consisting with that——也就是说，之后的P/E，inflation之类的增长率都是跟这个5%保持一致的，其实题目就是暗示我们5%才是真正的有用数据了~~

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