源_品职助教 · 2021年11月12日
嗨,努力学习的PZer你好:
解答如下:
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%
本题老师已在经典题班做了详细讲解,你也可以就老师讲解具体哪一步不明白或者有异议提问。
----------------------------------------------虽然现在很辛苦,但努力过的感觉真的很好,加油!