问一道题：NO.PZ201710100100000307

问题如下：

Julie Carlisle is a financial planner at a large wealth management firm. One of her clients, Esteban Blake, just received a sizable inheritance. He invests a portion of the inheritance in an annuity that will immediately increase his income by a substantial amount. He enlists Carlisle’s help to invest the remaining amount of the inheritance.

Blake informs Carlisle he would like some short-term bonds in his portfolio. Carlisle proposes purchasing a one-year domestic government zero-coupon bond. It has a face value of $100 and is currently priced at $96.37. Carlisle estimates the one-year real risk-free rate at 1.15% and expects inflation over the next year to be 2.25%. In an effort to provide Blake with some exposure to international markets, Carlisle proposes three countries to look for investment opportunities. Selected data on the three countries are presented in Exhibit 1.

In her analysis, Carlisle observes that the spread between the three-year default-free nominal bond and the default-free real zero-coupon bond in Country #3 is 2.0%. Blake expresses concern that stocks may be currently overvalued in Country #3 given the country’s 20-year historical equity index P/E of 16.0. Carlisle comments:

I think the equilibrium P/E in Country #3 has increased because of changes in market conditions.

Carlisle predicts that Country #3 will slip into a recession next quarter. She thinks it will be short-lived, lasting only 12 months or so, and considers the impact of such a recession on the performance of the country’s stocks and bonds.

7 Based on Exhibit 2, if Carlisle’s prediction for Country #3 is realized, then over the next 12 months:

选项：

Bond A would be expected to outperform Bond C.

Bond B would be expected to outperform Bond A.

Bond C would be expected to outperform Bond B.

解释：

A is correct.

If Country #3 experiences a recession over the next 12 months, the credit spreads for corporate bonds would be expected to widen as investors sell the low-quality debt of issuers with high default risk and trade up to the higher-quality debt of issuers with low default risk. The issuers with a good credit rating (like Aaa rated Bond A) tend to outperform those with lower ratings (like B3 rated Bond C) as the spread between low and higher quality issuers widens. As a result, Bond A would be expected to outperform Bond C over the next 12 months

考点：Credit Premiums and The Business Cycle

解析: 当经济衰退时，评级高的债券表现更好。表中bond A评级最高，因此选A。