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次第花开 · 2019年12月17日

问一道题:NO.PZ2019103001000072

问题如下:

Petit observes that credit spread levels for bonds are currently higher than normal, and she recommends that the firm increase its investment in high-yield bonds. She mentions three reasons for increasing high-yield bond exposure.

■■Reason 1: The portfolio’s liquidity will improve.

■■Reason 2: Defaults on high-yield bonds will be relatively low.

■■Reason 3: The firm’s view is that economic growth will be greater than the consensus forecast.

Which reason best supports Petit’s recommendation to increase the firm’s investment in high-yield bonds?

选项:

A.

Reason 1

B.

Reason 2

C.

Reason 3

解释:

C is correct.

Better-than-expected economic growth is typically associated with narrower credit spreads and lower default rates for high-yield bonds.

A选项中流动性将提高,那spread也会减少,为什么不选呢?谢谢老师

1 个答案
已采纳答案

发亮_品职助教 · 2019年12月18日

嗨,努力学习的PZer你好:


“A选项中流动性将提高,那spread也会减少,为什么不选呢?”


这道题问为什么要投资High-yield bond。Reason 1说:因为Portfolio的Liquidity会提升;这点显然错误,因为投资HYB,会降低组合的流动性。



这道题是这样,当前市场上HYB反映出来的Credit spread高于正常水平,然后公司选择投资他。

看完三个Reason,Reason 3是解释最合理的一项。因为在公司看来,市场对未来的预期过于悲观,公司对经济增长的预期相比更加乐观,也就是说在公司眼里,当前市场的Credit spread过高,导致HYB的价格过低,债券被低估了。合理的Credit spread应该更低、债券价格应该更高才是,所以公司选择投资他。


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