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ROOT · 2023年05月06日

请老师帮忙解答一下❤️

NO.PZ2022061307000045

问题如下:

Question

A price-weighted index series is composed of the following three stocks:


If stock Z completes a three-for-one split at the end of Day 1, the value of the index after the split (at the end of Day 2) is closest to:

选项:

A.31.7.

B.32.3.

C.29.9.

解释:

Solution

A is correct. The value of the price-weighted index is determined by dividing the sum of the security values by the divisor, which is typically set at inception to equal the initial number of securities in the index. In the case of a stock split, the index provider must adjust the value of the divisor by dividing the sum of the constituent prices after the split by the value of the index before the split. This adjustment results in a new divisor that keeps the index value at the same level as before the split. The new divisor will then be used to calculate the index value after the split.

Index before the split = 10+20+60 3

= 30

New divisor, X: 30 = 10+20+20 X

X = 1.67

Index after the split = 12+19+22 1.67

= 31.7

B is incorrect. It calculates the changes in prices and uses it to derive the new index.

C is incorrect. It uses price after split to calculate the new divisor.

1拆3为什么不能直接用12+19+22/6来求呢?没明白求出的30为什么能作为起承转合的连接点求出1. 67, 是什么原理呢?

1 个答案
已采纳答案

王园圆_品职助教 · 2023年05月06日

同学你好,你的22/6是什么原理?助教也没有看懂呢?

根据以下讲义的定义(绿色星星部分),价格权重的指数,在没有拆股的状态下,应该每个股票都买相同的股数来构建——而根据最后的price weighted index value的公式(蓝色框部分),就可以知道,如果不拆股,那index value就应该是(10+20+30)/3=30来计算

而拆股以后,虽然Z的股价变了, 但是指数的值不应该因为拆股而发生变化, 否则计算指数的收益率就会乱套。此时,已知拆股后的各个股票的股价,可以以没有拆股前的index value作为一个锚定值,从而计算最后公式中的分母应该是多少才能使index的值不受拆股的影响。所以是30 = (10+20+20)/x,从而求出新的分母=1.67

以后再计算股价真正发生变化时的index的值的时候,就应该用这个新的1.67作为分母计算,就能不受拆股影响了

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