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James · 2024年01月20日

这种方法可以吗?

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.

拆股前:(10+20+60)/3=30 拆股后:(12+19+22+22+22)/5=19.4 是哪里错了呀?

1 个答案

王园圆_品职助教 · 2024年01月20日

同学你好,请再仔细看下以下讲义截图的蓝色部分

这里强调了计算价格为权重的指数的时候,分母一定要是考虑了拆股以后的股票数量——问题是拆股发生在0时刻,所以必须先计算拆股结束完以后即时的分母

解析中以下的步骤就是计算拆股结束后立时的分母应该是多少的——这个部分基础班李老师上课也说明过一定要这么计算一步得到新的分母

然后按照讲义截图的方法,用新的每一个股票的股价之和除以新的分母才能得到正确的value

你这里“(12+19+22+22+22)/5=19.4”的计算方法,分子算了3个Z股票的价格,分母也认为有5股股票,这种调整和分母是1.67,分子只算3个股票的价格显然不一致了——你这种错误到底在哪里,应该涉及了严格的分子分母如何变化会影响结果的数学推导,老师,原版书都没有提及,助教也没有办法回答。但是你的方法和老师上课讲的并不一样,且最后结果也错误,就说明肯定是行不通的。同学还是调整一下,按照老师上课讲过的方式(也就是解析的方法)来计算哦


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