收益率为什么会变呢？

问题如下：

An investor buys a bond with the following factors:

The investor is going to hold the bond to maturity. Assuming coupon payments could be reinvested at the YTM, what would the investor's final return be if the YTM for the bond decreases to 5% before the first coupon payment is made?

选项：

A.

Less than 5.5%.

B.

Greater than 5.5%.

C.

Equal to 5.5%.

解释：

A is correct.

Due to the decrease in the reinvestment income over the life of the bond caused by the decrease in the YTM to 5.0% , the investor will earn less than 5.5%.

考点：Source of return

解析：因为投资者是持有至到期，所以没有market price risk。持有期间的利率变动只会通过Coupon的再投资收益影响realized return。

如果持有至到期要达到5.5%的YTM，那么持有期间coupon的reinvest rate是要保持5.5%；如果高于5.5%，说明coupon的再投资收益会更大，从而到期时，实现的收益率变高；如果低于5.5%，如本题的例子，说明coupon的再投资收益会变小，从而到期时，实现的收益率变小。故选项A正确。