NO.PZ2018062006000131
问题如下：
Emily invests in a bond. If the investment horizon is longer than the bond's Macaulay duration, which of the following is true?
选项：
A. Market price risk dominates, and she is faced with risk of higher rates.
B. She is hedged against interest rate risk.
C. Reinvestment risk dominates, and she is faced with risk of lower rates.
解释：
C is correct.
Duration gap = Macaulay duration - investment horizon. If the bond's investment horizon is larger than its Macaulay duration, then the duration gap is negative, which means reinvestment risk dominates market price risk, the investor is faced with risk of lower rates. Only when the investment horizon is the same as the bond's Macaulay duration (duration gap equals zero) will the investor be hedged against interest rate risk.
为什么市场上是较低利率呢？