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Amy-Lily · 2024年11月06日

老师好,这道题可以解释一下吗,谢谢您

NO.PZ2023040401000047

问题如下:

Stocks BWQ and ZER are each currently priced at $100 per share. Over the next year, stock BWQ is expected to generate significant benefits whereas stock ZER is not expected to generate any benefits. There are no carrying costs associated with holding either stock over the next year. Compared with ZER, the one-year forward price of BWQ is most likely:

选项:

A.

lower.

B.

the same.

C.

higher.

解释:

A is correct. The forward price of each stock is found by compounding the spot price by the risk-free rate for the period and then subtracting the future value of any benefits and adding the future value of any costs. In the absence of any benefits or costs, the one-year forward prices of BWQ and ZER should be equal. After subtracting the benefits related to BWQ, the one-year forward price of BWQ is lower than the one-year forward price of ZER.

如题

1 个答案

李坏_品职助教 · 2024年11月06日

嗨,努力学习的PZer你好:


当前已知:B股票和Z股票现在价格都是100块钱。B预计在将来会有很高的分红收益,而Z股票不会有分红。这俩股票都没有cost,现在问你,B股票当前的远期价格(forward price)是大于还是小于Z股票的远期价格?


远期价格就是F0(T),公式是:

题目说cost是0,所以PVC是0,而B股票的分红很高,所以PVI很大,那么B股票的F0(T)就变小了。所以选A。


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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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