“Grinold and Kroner Model”的意思、由来-开放百科全书

词条

Grinold and Kroner Model

释义

References

The Grinold and Kroner Model is used to calculate expected returns for a stock, stock index or the market as whole. It is a part of a larger framework for making forecasts about market expectations.

The model states that:

^[1]

Where

are the expected returns
is the dividend in next period (period 1 assuming current t=0)
is the current price (price at time 0)
is the expected inflation rate
is the real growth rate in earnings (note that by adding real growth and inflation, this is basically identical to just adding nominal growth)
is the changes in shares outstanding (i.e. increases in shares outstanding decrease expected returns)
is the changes in P/E ratio (positive relationship between changes in P/e and expected returns).

One offshoot of this discounted cash flow analysis is the Fed Model. Under the Fed model, the earnings yield is compared to the 10-year treasury bonds. If the earnings yield is lower than that of the bonds, the investor would shift their money into the less risky T-bonds.

Grinold, Kroner, and Siegel (2011) estimated the inputs to the Grinold and Kroner model and arrived at a then-current equity risk premium estimate between 3.5% and 4%.^[2] The equity risk premium is the difference between the expected total return on a capitalization-weighted stock market index and the yield on a riskless government bond (in this case one with 10 years to maturity).

References

1. ^Richard Grinold and Kenneth Kroner, "The Equity Risk Premium," Investment Insights (Barclays Global Investors, July 2002).
2. ^Richard Grinold, Kenneth Kroner, and Laurence Siegel, "A Supply Model of the Equity Premium," in B. Hammond, M. Leibowitz, and L. Siegel, eds., Rethinking the Equity Risk Premium, Charlottesville, VA: Research Foundation of CFA Institute, 2011.

1 : Economics models

随便看

开放百科全书收录14589846条英语、德语、日语等多语种百科知识，基本涵盖了大多数领域的百科知识，是一部内容自由、开放的电子版国际百科全书。