题目
An analyst develops the following capital market projections.「huixue_img/importSubject/1564548696555786240.png」Assuming the returns of the asset classes are described by normal distributions, which of the following statements is correct?
选项
A.Bonds have a higher probability of a negative return than stocks.
B.On average, 99% of stock returns will fall within two standard deviations of the mean.
C.The probability of a bond return less than or equal to 3% is determined using a Z-score of 0.25.
答案
A
解析
： A is correct. The chance of a negative return falls in the area to the left of 0% under a standard normal curve. By standardizing the returns and standard deviations of the two assets, the likelihood of either asset experiencing a negative return may be determined: Z-score (standardized value) = (X – μ)/σ Z-score for a bond return of 0% = (0 – 2)/5 = –0.40. Z-score for a stock return of 0% = (0 – 10)/15 = –0.67. For bonds, a 0% return falls 0.40 standard deviations below the mean return of 2%. In contrast, for stocks, a 0% return falls 0.67 standard deviations below the mean return of 10%. A standard deviation of 0.40 is less than a standard deviation of 0.67. Negative returns thus occupy more of the left tail of the bond distribution than the stock distribution. Thus, bonds are more likely than stocks to experience a negative return. ： A正确。 在标准正态曲线下，落在0%左侧的区域代表的是负收益。通过标准化两个资产的回报和标准差，资产收益为负回报的可能性可能决定：z分数(标准化值)= (X -μ)/σ 债券收益率为0%的z值=(0 - 2)/5 = - 0.40。 股票收益率为0%的z值=(0 - 10)/15 = - 0.67。 对于债券来说，0%的回报率比2%的平均回报率低0.40个标准差。相比之下，对于股票来说，0%的回报率比10%的平均回报率低0.67个标准差。0.40的标准差小于0.67的标准差。因此，相比于股票，负收益占据了债券左尾更多的分布面积。因此，债券比股票更有可能出现负回报。