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Weike · 2024年02月19日

A不需要增加一个cost 而B需要增加一个cost, B的forward 是大于A 所以spot 小于A么

  1. CFA I
  2. Derivative

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。

A不需要增加一个cost 而B需要增加一个cost, B的forward 是大于A 所以spot 小于A么

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1 个答案

pzqa35 · 2024年02月20日

嗨，爱思考的PZer你好：


这里是说两个股票的价格都是50元，所以也就是说他们的spot price是相等的，但是A没有分红，B有分红，那么A的FP=S0(1+rf)T，B的FP= (S0-PVI0)(1+rf)T,所以最终A的forward price是要大于B的forward price的。这里B的分红相当于是持有期间的benefit，但是这个benefit是没有办法拿到的，因为在forward没有到期之前，股票是不在long方手里的，所以这个benefit要减去。

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