CFA三级知识点必备：资本市场预期 Capital Market Expecta-打印版

CapitalMarket

Expectations

CFAй㓗ษ䇝亩ⴞ

䇢ᐸ˖%RE+RQJ



1-11

1.TaylorRule

2-11

MonetaryPolicy

¾Theequilibriuminterestrateinacountry(therateatwhichabalance

betweengrowthandinflationachieved)isreferredtoastheneutralrate.

¾TheTaylorruledeterminesthetargetinterestrateusingtheneutralrate,

expectedGDPrelativetoitslong-termtrend,andexpectedinflation

relativetoitstargetedamount.Itcanbeformalizedasfollows:

݅כൌݎ

൅ߨ൅ͲǤͷܻെܻ

൅ͲǤͷߨെߨ

௧௥௘௡ௗ௘௧௔௥௚௘௧

௡௘௨௧௥௔௟

௘

௘

9݅כൌ–ƒ”‰‡–‘‹ƒŽ’‘Ž‹…›”ƒ–‡

9”‡—–”ƒŽൌ”‡ƒŽ’‘Ž‹…›”ƒ–‡–Šƒ–™‘—Ž†„‡–ƒ”‰‡–‡†‹ˆ‰”‘™–Š‹•‡š’‡…–‡†

–‘„‡ƒ––”‡†ƒ†‹ˆŽƒ–‹‘‘–ƒ”‰‡–

9ߨǡߨ

ൌ”‡•’‡…–‹˜‡Ž›ǡ–Š‡‡š’‡…–‡†ƒ†–ƒ”‰‡–‹ˆŽƒ–‹‘”ƒ–‡•

௘

௧௔௥௚௘௧

9ܻǡܻ

ൌ

௘

௧௥௘௡ௗ

”‡•’‡…–‹˜‡Ž›ǡ–Š‡‡š’‡…–‡†ƒ†–”‡†”‡ƒŽ

‰”‘™–Š”ƒ–‡•

3-11

MonetaryPolicy

¾Therulecanbere-expressedintermsofthereal,inflation-adjustedtarget

ratebymovingtheexpectedinflationratetotheleft-handsideofthe

equation.

݅כെߨൌݎ

൅ͲǤͷܻെܻ

൅ͲǤͷߨെߨ

௧௥௘௡ௗ௘௧௔௥௚௘௧

௘

௡௘௨௧௥௔௟

௘

zFromthisrearrangement,weseethatthereal,inflation-adjustedpolicy

ratedeviatesfromneutralbyone-halftheamountbywhichgrowthand

inflationdeviatefromtheirrespectivetargets.

4-11

2.G-KModel

5-11

GKmodle

¾

GrinoldandKroner(2002)takethismodelonestepfurtherbyincludinga

variablethatadjustsforstockrepurchases——whichcompaniesuseto

transfercashtoshareholders——andchangesinmarketvaluationsas

representedbychangesintheprice-earnings(P/E)ratio.

ܦ

ܧܴ௘

ൌ

൅ΨοܧെΨοܵ൅ΨοܲȀܧ

ܲ

9E(R)=theexpectedrateofreturnonequity

e

9D/P=thedividendyield

9%∆S=theexpectedpercentagechangeinsharesoutstanding

9∆P/E=theexpectedpercentagechangeintheP/Eratio

zExpectedcashflow(“income”)return:D/P–%ΔS

zExpectednominalearningsgrowthreturn:%ΔE

zExpectedrepricingreturn:%ΔP/E

6-11

ForecastingEquityReturns

¾1.Theexpectedcashflowreturn(incomereturn):

ܦ

ܲ

െΨοܵൌ݅݊ܿ݋݉݁ݎ݁ݎݑݐ݊

¾2.Theexpectednominalearningsgrowthistherealgrowthinearnings

plusexpectedinflation:

݁݌ݔ݁ܿݐ݁݀݊݋݈݉݅݊ܽ݁ܽݎ݊݅݊݃ݏ݃ݐݓ݋ݎ݄ݎ݁ݎݑݐ݊ൌΨοܧ

¾3.Theexpectedrepricingreturniscapturedbytheexpectedchangeinthe

P/Eratio:

݁݌ݔ݁ܿݐ݁݀ݎ݁ݎ݌݅ܿ݅݊݃ݎ݁ݎݑݐ݊ൌΨοሺܲȀܧሻ

¾ItishelpfultoviewtheGrinold-Kronermodelasthesumofthe(1)expected

cashflowreturn,(2)expectednominalearningsgrowthrate,and(3)

expectedrepricingreturn.

ܧሺܴ݁ሻൎሺܦȀܲെΨοܵሻ൅ሺΨοܧሻ൅ሺΨοܲȀܧሻ

7-11

3.S-TModel

8-11

S-TModel

¾SingerandTerhaarApproach

zStep1:

ݒ݋ܥሺܴ݅ǡܴܯሻ

ܸܽݎሺܴܯሻ

ߪ

௜

ߚ௜ǡெ

ൌ

ൌߩ௜ǡெሺߪ

ሻ

ெ

zStep2:Undertheassumptionoffullintegration,everyassetispriced

relativetotheglobalcapitalization-weightedmarketportfolio.

ܴܲܯܩ

ߪீெ

ܴܲீൌߚ௜ǡீெܴܲൌߩ௜ǡீெߪ௜

௜

ீெ

zStep3:Considerthecaseofcompletelysegmentedmarkets.Therisk

premiumforeachassetwillbedeterminedinisolationwithoutregardto

othermarketsoropportunitiesfordiversification.

zStep4:ThefinalSinger–Terhaarriskpremiumestimateforassetiisa

weightedaverageofthetwocomponentestimates.(φ:thedegreeto

whichtheassetisgloballyintegrated;)

ܴܲൌܴ߮ܲீ൅ሺͳെ߮ሻܴܲௌ

݅

௜

௜

9-11

Example

¾StacyAdkinsbelievestheequitymarketinoneoftheemerging

marketsthatshemodelshasbecomemorefullyintegratedwiththe

globalmarket.Asaresult,sheexpectsittobemorehighlycorrelated

withtheglobalmarket.However,shethinksitsoverallvolatilitywill

decline.Heroldandnewestimatesareasfollows:

PreviousData

NewData

Volatility(σ)

22.0%

18.0%

i

Correlationwithglobal

0.50

0.55

0.30

0.70

0.75

0.30

market(ρ,)

iM

Degreeofintegration(φ)

Sharperatio(globaland

segmentedmarkets)

¾IfsheusestheSinger–Terhaarmodel,whatwillthenetimpactofthese

changesbeonherriskpremiumestimateforthismarket?

10-11

Example

¾CorrectAnswer:

zThesegmentedmarketriskpremiumwilldeclinefrom6.6%

(calculatedas22.0%Ø0.30=6.6%)to5.4%(=18%Ø0.30).

zThefullyintegratedriskpremiumwillincreasefrom3.30%(=0.50

Ø22.0%Ø0.30)to