NO.PZ2018123101000073
问题如下:
The relevant information about convertible bond issued by Pro Star is given below.
The market prices of Pro Star’s convertible bond and common stock today are $1,060 and $37.50, respectively
If the market price of Pro Star’s common stock falls from its level today, the price of the convertible bond will:
选项:
A.fall at the same rate as Pro Star’s stock price.
B.fall but at a slightly lower rate than Pro Star’s stock price.
C.be unaffected until Pro Star’s stock price reaches the conversion price.
解释:
B is correct.
考点:考察对可转债的理解
解析:
可转债的兑换价值为31×37.50美元或1,162.50美元 , 代表其最低价值 。 因此 , 可转换债券主要表现出股票风险回报特征 , 而股票价格的下跌将导致可转换债券价格下跌 。 然而 , 可转换债券价格的变化小于股票价格的变化 , 因为可转换债券价格下跌有底限 ( floor ) ; 该底限是不含权债券的价值 。
例如股价只有30。这时是根据conversion bond表现债性,得出股价涨跌不影响其value;还是根据conversion bond value=straight bond + stock call opion,因为call的执行概率变低,option value下降,因此得出可转债value也下降?