标题: 2008 AM, Q5 A (i) [打印本页] 作者: lc26mizzou 时间: 2013-4-28 10:17 标题: 2008 AM, Q5 A (i)
My question -given that The Grinold-Kroner model can be expressed as:
E(Re) = (D/P - 作者: chandsingh 时间: 2013-4-28 10:17
I think you meant “2009 AM Q5”.
Anyway, the repurchase yield = - 作者: sgupta0827 时间: 2013-4-28 10:17
CFAI reading says the formula is E(Re) = (D/P - 作者: transferpricing 时间: 2013-4-28 10:18
It is (D/P - 作者: kasinkei 时间: 2013-4-28 10:18
No -that is not what’s in the book-and not how it is explained in the Guideline Answer:
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, - 作者: hardwork24 时间: 2013-4-28 10:18
It’s the same thing作者: Analyze_This 时间: 2013-4-28 10:18
Thats right -its the same thing , not as you explained
It is (D/P - 作者: Micholien 时间: 2013-4-28 10:18
negative repurchase yield means they are ADDING shares = expected return will be less, so you subtract it from the E(R)作者: FVPV 时间: 2013-4-28 10:19
作者: wizofoz 时间: 2013-4-28 10:19
Okay-let me just quote Grinold and Kroner (this is all on the CFA website, from their paper A Supply Model of the Equity Premium-link below)
E(Re) = (D/P - 作者: dyga 时间: 2013-4-28 10:19
Sorry for the double posting作者: mkytz15 时间: 2013-4-28 10:19
sorry monk
this does not match up with what is in the curriculum.
Please look at Example 10 SS8 Asset Allocation.
There Repurchase Yield was 1.0% - and -DeltaS = -1 and -(-1) was done.
So here when Repurchase yield is -0.5% -DeltaS = -(-0.5) so -0.5 should be done …
this is in the curriculum and nothing else should matter at this point in time.
From the exam answers standpoint on the 2009 exam - the -0.5% repurchase yield HAS BEEN DEDUCTED from the D1/p to arrive at a rate of 4 - 0.5 = 3.5% …作者: brainsX 时间: 2013-4-28 10:20
Why would you add it?
Think about it as buyback… If the company is buying back shares it means more for you. So higer expected return.
in this case the repurchase yield is negative which mean they issued shares.. So it’s bad for you. You are being diluted.
another way of thinking about it: the YIELD is negative ( if it helps use the word RETURN instead of YIELD) . If you were to buy a bond with a negative yield (return) would you be happy? No. Because you would be loosing money. Same here the YIELD is negative so your expected return is lower.作者: badonkus 时间: 2013-4-28 10:20
Let me quote from the Grinold again:
The second term, –作者: maratikus 时间: 2013-4-28 10:20
And looking at the curriculum -page 35,Volume 3,CFAI Readings :
The term 作者: edgeon 时间: 2013-4-28 10:20
I m giving up作者: chunty 时间: 2013-4-28 10:21
Sometimes,and this is not the first instance-we need to acccept the unacceptable -that the guideline answer is wrong作者: dmar 时间: 2013-4-28 10:21
I got 3.5% also. I have my own simple way of looking at this and I am not budging now.
If the question gives the repurchase yield, that is the question says repurchase yield is- x%
I calculate the income return as
dividend yield + repurchased yield.-(x%)
If the question states that outstanding shares has decreased as a%which means that cash has been received from share holders I calculate the income return as
dividend yield +(-a%)
This works for me.作者: brain_wash_your 时间: 2013-4-28 10:21
the guideline answer is not wrong
you are reading the question wrong作者: Kingpin804 时间: 2013-4-28 10:21
if the repurchase yield is negative, that means the change in shares is positive…there was an increase in shares…
so in the formula, which is the change in shares (NOT THE REPURCHASE YIELD), is positive, so you have: 4.0 - 0.5 = 3.5%作者: WarrenB1 时间: 2013-4-28 10:21
No-look at the reading Detla S is the change in the numbe of shares, it is not the change in return that arises from the change in shares:
page 35,Volume 3,CFAI Readings :
The term 作者: jonh 时间: 2013-4-28 10:22
And the question says 作者: torontoanalyst 时间: 2013-4-28 10:22
Forget about the sign. The sign is part of the expression. We are not talking about “Delta S” but “minus delta S”
hence if you just need to plug the figure if your given the repurchase yield
Read again your quote from Grinold: “the second term - delta S… Equals the repurchase yield”. The sign is included in the term!!!
And what are you given? The repruchase yield! Wow..
no need to touch the sign in the final equation!作者: kasinkei 时间: 2013-4-28 10:22
Also -se from the readings that - 作者: bluejazzy 时间: 2013-4-28 10:22
You know what, you’re right. Please make sure you change the sign Saturday!作者: tikfed 时间: 2013-4-28 10:23
Monk, I dont know what to tell you other than you are wrong.
Good luck on Saturday, my friend.作者: ohai 时间: 2013-4-28 10:23
bump again!!!
hahahahaha
this stuff is gold, Jerry…GOLD!作者: Roflnadal 时间: 2013-4-28 10:23
Hey mcap11, congrats on passing level 3. It was nice to see we made it thru together. Can’t believe how much time went by since level 1 (dec 08). Best of luck.
