c*********t
发帖数: 2341 | 1 原来公式里面的i和g就是预期了，后面的delta(P/E)其实还是反应了i和g的变化，其实
就是delta(i)加delta(g)
除非原来的i和g是常数不随时间变化，否则岂不是把delta(i)和delta(g)算了两遍？ |
b*****e
发帖数: 1125 | |
c*********t
发帖数: 2341 | 3 investment & finance
【在 b*****e 的大作中提到】
: 猫主席你是做哪行的?国内还用这种模型?
|
b*****e
发帖数: 1125 | 4 你在考CFAL2?
i and g are expected inflation rate and real earning growth rate. They are
independent of p/e ratio since p/e could not change with earnings
continuously growing. |
c*********t
发帖数: 2341 | 5 ft，我考CFA level2是n年以前的事了
我的意思是说p/e ratio之所以会发生变化就是因为市场对inflation和growth的预期发
生了变化
所以delta(p/e)实际上就是delta(i)+delta(g)
【在 b*****e 的大作中提到】
: 你在考CFAL2?
: i and g are expected inflation rate and real earning growth rate. They are
: independent of p/e ratio since p/e could not change with earnings
: continuously growing.
|
b*****e
发帖数: 1125 | 6 Expected Returns= Div1 /P0 + i + g - ΔS + Δ (P/E)
Div1 = dividend in next period (period 1 assuming current t=0)
P0 = current price (price at time 0)
i= expected inflation rate
g= real growth rate in earnings (note that by adding real growth and
inflation, this is basically identical to just adding nominal growth)
ΔS= changes in shares outstanding (i.e. increases in shares outstanding
decrease expected returns)
Δ(P/E)= changes in P/E ratio (positive relationship between changes in P/e
and expect |
c*********t
发帖数: 2341 | 7 假设这个公式用在t=1的时候，那么
Δ (P/E)应该是t=1的时候的P/E减去t=0的时候的P/E对吧
其反应的就是市场在从t0到t1这段时间对inflation和growth预期的变化
e
【在 b*****e 的大作中提到】
: Expected Returns= Div1 /P0 + i + g - ΔS + Δ (P/E)
: Div1 = dividend in next period (period 1 assuming current t=0)
: P0 = current price (price at time 0)
: i= expected inflation rate
: g= real growth rate in earnings (note that by adding real growth and
: inflation, this is basically identical to just adding nominal growth)
: ΔS= changes in shares outstanding (i.e. increases in shares outstanding
: decrease expected returns)
: Δ(P/E)= changes in P/E ratio (positive relationship between changes in P/e
: and expect
|
b*****e
发帖数: 1125 | 8 That's right. But it means Δ(P/E) depends on Δi and Δg, it has nothing to
do with E(i) and E(g) at time t0.
I think this formula used at t0, E(i) and E(g) are both determined at t0 and
Δ(P/E) is an expected change of P/E during t0 and t1.
【在 c*********t 的大作中提到】
: 假设这个公式用在t=1的时候，那么
: Δ (P/E)应该是t=1的时候的P/E减去t=0的时候的P/E对吧
: 其反应的就是市场在从t0到t1这段时间对inflation和growth预期的变化
:
: e
|
c*********t
发帖数: 2341 | 9 问题是这个E(i) and E(g)是t1的时候的啊
to
and
【在 b*****e 的大作中提到】
: That's right. But it means Δ(P/E) depends on Δi and Δg, it has nothing to
: do with E(i) and E(g) at time t0.
:
: I think this formula used at t0, E(i) and E(g) are both determined at t0 and
: Δ(P/E) is an expected change of P/E during t0 and t1.
|
b*****e
发帖数: 1125 | 10 OMG. Have you ever learned probability?
Look at the left hand side of the formula, its expected return which is at
t0. So anything on the right hand side without post-fix should be value at
t0.
BTW expected value are typically long term expectation which should be in
decades. So whether you are at t0 or t1, E(i) and E(g) should be the same. |
|
|
c*********t
发帖数: 2341 | 11 ft，前面我都说了按照t=1算
如果公式左边是t=0那右边也是t=0
还是一样的把从t=-1到t=0这段时间delta(i)和delta(g)算了两遍
【在 b*****e 的大作中提到】
: OMG. Have you ever learned probability?
: Look at the left hand side of the formula, its expected return which is at
: t0. So anything on the right hand side without post-fix should be value at
: t0.
: BTW expected value are typically long term expectation which should be in
: decades. So whether you are at t0 or t1, E(i) and E(g) should be the same.
|
c*********t
发帖数: 2341 | 12 你自己画个时间的坐标轴就明白了
【在 b*****e 的大作中提到】
: OMG. Have you ever learned probability?
: Look at the left hand side of the formula, its expected return which is at
: t0. So anything on the right hand side without post-fix should be value at
: t0.
: BTW expected value are typically long term expectation which should be in
: decades. So whether you are at t0 or t1, E(i) and E(g) should be the same.
|
b*****e
发帖数: 1125 | 13 Please read the following formula again and tell me what time is on the lhs
and what time is i and g locates at?
Expected Returns= Div1 /P0 + i + g - ΔS + Δ (P/E)
Div1 = dividend in next period (period 1 assuming current t=0)
P0 = current price (price at time 0) |
c*********t
发帖数: 2341 | 14 是啊，所以i和g都是t0时候的吧
lhs
【在 b*****e 的大作中提到】
: Please read the following formula again and tell me what time is on the lhs
: and what time is i and g locates at?
: Expected Returns= Div1 /P0 + i + g - ΔS + Δ (P/E)
: Div1 = dividend in next period (period 1 assuming current t=0)
: P0 = current price (price at time 0)
|
b*****e
发帖数: 1125 | 15 Please read the following formula again and tell me what time is on the lhs
and what time is i and g locates at?
Expected Returns= Div1 /P0 + i + g - ΔS + Δ (P/E)
Div1 = dividend in next period (period 1 assuming current t=0)
P0 = current price (price at time 0) |
c*********t
发帖数: 2341 | 16 你还是没明白我的意思，i和g是在t=0这个点上对未来长期的通胀和增长的预期
而 Δ (P/E)反应的是市场P/E值从t=-1到t=0这段时间的变化
这么说没有问题吧
lhs
【在 b*****e 的大作中提到】
: Please read the following formula again and tell me what time is on the lhs
: and what time is i and g locates at?
: Expected Returns= Div1 /P0 + i + g - ΔS + Δ (P/E)
: Div1 = dividend in next period (period 1 assuming current t=0)
: P0 = current price (price at time 0)
|
b*****e
发帖数: 1125 | 17 My understanding is: Δ(P/E) = p0/E1 - p1/E0
but E(g+i) <> E(E1-E0), its a long term earning growth forecasting, so it
needs adjustment. |
c*********t
发帖数: 2341 | 18 Δ(P/E) = p0/E1 - p1/E0
这个不对吧
另外我也没说E(g+i) = E(E1-E0)，我是说E(g+i) 包含E(E1-E0)
所以多加一块是画蛇添足了
总而言之我觉得这个公式本身有缺陷
【在 b*****e 的大作中提到】
: My understanding is: Δ(P/E) = p0/E1 - p1/E0
: but E(g+i) <> E(E1-E0), its a long term earning growth forecasting, so it
: needs adjustment.
|
b*****e
发帖数: 1125 | 19 typo: Δ(P/E) = p0/E1 - p(-1)/E0
E(g+i) = E(E1-E0) by defition
This is an empirical formula and without suprise has shortage.
【在 c*********t 的大作中提到】
: Δ(P/E) = p0/E1 - p1/E0
: 这个不对吧
: 另外我也没说E(g+i) = E(E1-E0)，我是说E(g+i) 包含E(E1-E0)
: 所以多加一块是画蛇添足了
: 总而言之我觉得这个公式本身有缺陷
|
p******h
发帖数: 1783 | 20 原函数和一阶导函数怎么可能一样？
【在 c*********t 的大作中提到】
: 原来公式里面的i和g就是预期了，后面的delta(P/E)其实还是反应了i和g的变化，其实
: 就是delta(i)加delta(g)
: 除非原来的i和g是常数不随时间变化，否则岂不是把delta(i)和delta(g)算了两遍？
|
