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追梦赤子 · 2023年05月07日

如果问股价从37.5降到35,可转债的价格下降幅度是不是和股票一样呢?

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NO.PZ201602270200002010

问题如下:

10. If the market price of Pro Star’s common stock falls from its level on 19 October 20X0, the price of the convertible bond will most likely:

选项:

A.

fall at the same rate as Pro Star’s stock price.

B.

fall but at a slightly lower rate than Pro Star’s stock price.

C.

be unaffected until Pro Star’s stock price reaches the conversion price.

解释:

B is correct.

The market price on 19 October 20X0 ($37.50) is above the conversion price of $1,000/31 = $32.26 per share. Thus, the convertible bond exhibits mostly stock risk-return characteristics, and a fall in the stock price will result in a fall in the convertible bond price. However, the change in the convertible bond price is less than the change in the stock price because the convertible bond has a floor—that floor is the value of the straight bond.

The market price on 19 October 20X0 ($37.50) is above the conversion price of $1,000/31 = $32.26 per share.

如果问股价从37.5降到35,可转债的价格下降幅度是不是和股票一样呢?

1 个答案

pzqa31 · 2023年05月07日

嗨,爱思考的PZer你好:


同学,是这样的,一般情况下:

当股价下降,可转债表现好于股票,因为可转债有纯债价值(floor),所以可转债的价格跌幅小于股票。

当股价上涨,股票表现好于可转债,因为可转债有conversion premium。

当股价stable,可转债表现好于股票,因为可转债有利息收益。


但是如果股价很低很低,可转债就可以看成单纯债券,且此时不会行权,可以看成一个不含权债券,股价的变动对可转债价值基本没影响,更多的是看利率对可转债的影响。



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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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