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Ryoooh · 2020年06月04日

问一道题:NO.PZ2020012005000045 [ FRM I ]

问题如下:

Which statement regarding the differences between commodities and financial assets is incorrect?

选项:

A.

Commodities have substantial storage costs while financial assets' storage costs are negligible.

B.

Commodities can be costly to transport while finacial assets are ussually transported electronically at virtually no cost.

C.

Financial assets provide expected financial return reflecting their risk while prices of most commodities are mean reverting.

D.

Financial assets can be borrowed for shorting while commodities do not have this property.

解释:

A commodity held for investment purposes (e.g., gold or silver) can be borrowed for shorting. However, the borrower must pay what is called a lease rate.

Statement in D is incorrect.

选项C为什么说大宗商品是mean reverting的呢
1 个答案
已采纳答案

品职答疑小助手雍 · 2020年06月04日

嗨,努力学习的PZer你好:


这里主要描述的是一个大致的情况,金融资产是会反应收益预期的,而大宗商品相对金融资产来说不会像指数一样长期趋势上涨(比如标普让它现在回到30年前的点位好像是200多点,基本是不可能的,这里我们不讨论大A股哈),或者像中石油那样从40多跌到现在几块钱永远回不去。大宗商品的价格一般是围绕一个区间波动的(一般来说)所以这里算是个相对来说的结论,大宗商品价格均值复归,而金融资产反应经济增长,预期,信心等等。


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