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Dang.D · 2023年03月05日

请问为什么不能理解为B有分红,所以B的定价更高

NO.PZ2018062007000024

问题如下:

Stock A and Stock B are both traded at $50 per share in the same market. Stock A is a growth stock with no dividend payment plans, while Stock B is a value stock and plans to pay dividend in next month. Assuming all else equal, the three-months forward price of:

选项:

A.

Stock A is expected to be higher than Stock B

B.

Stock A is expected to be lower than Stock B

C.

Stock A cannot be determined compared to Stock B

解释:

A is correct.

The forward transaction will forgo the benefits and avoid cost. Dividend payment is benefit to stock holders. Therefore, the forward price is the spot price compounded at the risk-free rate over the life of the contract minus the future value of those benefits. Stock A, which has no dividend payment plan, will have a higher forward price than Stock B.

中文解析:

现货持有方是可以获得红利的,而远期合约的long方无法获得,因而远期合约的价格应当在现货价格基础上扣除红利的影响。这道题A股票没有红利,B股票有红利,两者价格相等,但B需要扣除红利影响,所以A股票为标的资产的期货价格会更高。

求问课本中有没有具体的解释呢

1 个答案

Lucky_品职助教 · 2023年03月09日

嗨,爱思考的PZer你好:


本题考察的是远期合约的定价,即下面这个公式,carrying benefit是需要减掉的哦

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努力的时光都是限量版,加油!

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