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Spencer · 2020年07月10日

问一道题:NO.PZ201712110200000409 第9小题 [ CFA II ]

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问题如下:

Based on Exhibit 4 and Gillette’s forecast regarding Raffarin’s share price, the return on the RI bond over the next year is most likely to be:

选项:

A.

lower than the return on Raffarin’s common shares.

B.

the same as the return on Raffarin’s common shares.

C.

higher than the return on Raffarin’s common shares.

解释:

A is correct.

Over the next year, Gillette believes that Raffarin’s share price will continue to increase towards the conversion price but not exceed it. If Gillette’s forecast becomes true, the return on the RI bond will increase but at a lower rate than the increase in Raffarin’s share price because the conversion price is not expected to be reached.

老师请问,这里convertible bond的return比标的stock return难道不是因为可转债有premium吗?
1 个答案
已采纳答案

吴昊_品职助教 · 2020年07月10日

是的,理解没有问题。当股价上升,option 的value逐渐 move into the money,option 的价值上升。但可转债收益也是低于股票的收益,因为我们买可转债的时候,为option支付了溢价,因此股价上涨带来的可转债的 retrun 会小于股价本身上涨的return。

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NO.PZ201712110200000409 问题如下 Baseon Exhibit 4 anGillette’s forecast regarng Raffarin’s share price, the return on the RI bonover the next yeis most likely to be: A.lower ththe return on Raffarin’s common shares. B.the same the return on Raffarin’s common shares. C.higher ththe return on Raffarin’s common shares. A is correct.Over the next year, Gillette believes thRaffarin’s share priwill continue to increase towar the conversion pribut not exceeit. If Gillette’s forecast becomes true, the return on the RI bonwill increase but a lower rate ththe increase in Raffarin’s share pribecause the conversion priis not expecteto reache 视频讲解中提到,当股票价格向转换价格靠近时,可转债股性债性并存,处于一个涨跌幅均小于正股的情况,这个我可以理解。那如果题目问可转债当前out of money,正股价格预计继续下降,债相关的利率因素等不变,可转债价格应当如何变化?假设答案给了【A.可转债价格会下降但幅度更小】【B.可转债价格不变】。这种情况下应该怎么选择?是用“可转债out of money时偏债性,只受利率影响”的结论去选择B,还是用“可转债涨跌幅小于正股”的大原则去选择A?还请老师解惑。

2023-10-29 00:25 1 · 回答

NO.PZ201712110200000409问题如下Baseon Exhibit 4 anGillette’s forecast regarng Raffarin’s share price, the return on the RI bonover the next yeis most likely to be:A.lower ththe return on Raffarin’s common shares.B.the same the return on Raffarin’s common shares.C.higher ththe return on Raffarin’s common shares.A is correct.Over the next year, Gillette believes thRaffarin’s share priwill continue to increase towar the conversion pribut not exceeit. If Gillette’s forecast becomes true, the return on the RI bonwill increase but a lower rate ththe increase in Raffarin’s share pribecause the conversion priis not expecteto reache老师,我想确认一下,这边说的return 是指,如果可转债以债券形式持有的话,拿到的就是债券的收益, 比如,coupon 或者是利息收入; 如说是转为股票持有,就是拿到的 分红收益 或者是 capitgain 的收益 对吗?

2022-08-17 17:15 2 · 回答

老师如果这道题是股票价格下降,并远离conversion price,那是不是可转债的return就要大于stoprireturn了?因为这时候的可转债的return基本可以当做是straight bon价格变化,变化很小,可以认为股票下跌的要多于这个变化,就像这道题一样,对吗?

2020-08-28 18:16 1 · 回答

    你好,为什么不用综合考虑RI bonconvertible callable putable这三个性质呢?谢谢!

2019-05-09 02:23 1 · 回答