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徐威廉 · 2020年04月03日

问一道题:NO.PZ201602270200002010 第10小题 [ CFA II ]

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问题如下:

10. If the market price of Pro Star’s common stock falls from its level on 19 October 20X0, the price of the convertible bond will most likely:

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.

The market price on 19 October 20X0 ($37.50) is above the conversion price of $1,000/31 = $32.26 per share. Thus, the convertible bond exhibits mostly stock risk-return characteristics, and a fall in the stock price will result in a fall in the convertible bond price. However, the change in the convertible bond price is less than the change in the stock price because the convertible bond has a floor—that floor is the value of the straight bond.

为什么股票下降幅度小于可转债下降幅度?因为可转债内由两部分组成:1.straight bond;2.call option on stock.只有第二部分和股价联动所以下降幅度小?有没有数学依据?
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WallE_品职答疑助手 · 2020年04月03日

同学你看反了!B选项是可转债的下降幅度小于股票的下降幅度。因为可转债有保底呀,股票可以跌到0但可转债至少会获得利息和本金

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NO.PZ201602270200002010 问题如下 10. If the market priof Pro Star’s common stofalls from its level on 19 October 20X0, the priof the convertible bonwill most likely: A.fall the same rate Pro Star’s stoprice. B.fall but a slightly lower rate thPro Star’s stoprice. C.unaffecteuntil Pro Star’s stoprireaches the conversion price. B is correct.The market prion 19 October 20X0 ($37.50) is above the conversion priof $1,000/31 = $32.26 per share. Thus, the convertible bonexhibits mostly storisk-return characteristics, ana fall in the stopriwill result in a fall in the convertible bonprice. However, the change in the convertible bonpriis less ththe change in the stopribecause the convertible bonha floor—thfloor is the value of the straight bon The market prion 19 October 20X0 ($37.50) is above the conversion priof $1,000/31 = $32.26 per share.如果问股价从37.5降到35,可转债的价格下降幅度是不是和股票一样呢?

2023-05-07 18:43 1 · 回答

老师好, 可转债价值下降的幅度是小于股票的下跌幅度的 怎么理解? 谢谢。

2020-08-01 07:20 2 · 回答

10 月 19 日,股票价格是 37 块多,超过了可转换的价格 32 块多,那这个时候是不是可转债已经转换为股票了?那如果转换为股票,可转债就可以按股票来理解了,那就选 A?

2020-06-19 11:56 1 · 回答

老师,您好!这道题是否能够这样理解。对于covertable bon而言,股票价格影响的就是其call option,而call option影响的程度需要结合当前状态,而不能一味认为stock价格下跌,covertable bon影响程度一定小于stock遭受的影响。谢谢!!

2019-05-03 16:33 1 · 回答