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circle · 2024年09月29日

老师,这道题不懂

NO.PZ2024021803000058

问题如下:

Assuming all other factors are equal, how does the cost of carry compare for a dividend-paying stock versus a stock with no dividends?

选项:

A.Lower than a stock with no dividends.

B.The same as a stock with no dividends.

C.Higher than a stock with no dividends.

解释:

The cost of carry for a dividend-paying stock is lower than that of a stock with no dividends because the dividends expected to be received reduce the net cost of holding the stock. 所有其他因素相同的情况下,支付股利的股票的持有成本低于不支付股利的股票,因为预期收到的股利减少了持有股票的净成本。

老师,麻烦这题不太懂

1 个答案

李坏_品职助教 · 2024年09月29日

嗨,努力学习的PZer你好:


题目问你,支付股利的股票持有成本,与不支付股利的股票的持有成本相比,谁高谁低?

实际上是问你二者的forward price谁高谁低(因为forward price就是按照持有成本模型来算的)

没有红利的forward price: F0(T) = S0 * (1+r)^T,

有红利的forward price: F0(T)= [S0 - 红利的现值PV(I)] * (1+r)^T,


所以,有红利的forward price要低于没有红利的forward price,所以选A。


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努力的时光都是限量版,加油!

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