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Spencer · 2020年06月13日

问一道题:NO.PZ2018123101000030 [ CFA II ]

问题如下:

Madison states her views on the term structure of interest rates:

Yields are reflection of expected spot rates and risk premiums. Investors demand risk premiums for holding long-term bonds, and these risk premiums increase with maturity.

Madison’s views on the term structure of interest rates are most consistent with the:

选项:

A.

local expectations theory.

B.

segmented markets theory.

C.

liquidity preference theory.

解释:

C is correct.

考点:Liquidity Preference Theory, Segmented Market Theory and Preferred Habitat Theory

解析:根据流动性偏好理论,投资者若要投资一个长期债券,会要求以流动性溢价的形式补偿他们购买长期债券时所面临的额外利率风险。该理论还认为,流动性溢价会随着投资期限的增长而增加。根据题干的描述, C选项为正确答案。

老师请问,Local Expectation Theory不也是提到了long term period 也是有risk premium 吗?怎么不选local expectation theory?
1 个答案

吴昊_品职助教 · 2020年06月14日

Yields are a reflection of expected spot rates and risk premiums. Investors demand risk premiums for holding long-term bonds, and these risk premiums increase with maturity. 第一句就说了Yields反映了expected spot rate和risk premiums。所以就可以排除Local expectation。因为在Local这个理论里,短期是risk-neutral的,也就意味着,在Local expectation theory里,短期和pure expectation theory是一样的,即买20年债券持有6个月,和买1年债券持有6个月收益是一样的。 第二句后半段,说了这个风险随时间加长,所以可以确定就是liquidity premium。Local只是说了短期是pure expectation theory,长期投资有补偿,并没有说长期补偿随时间增加。