题目
An asset manager at an insurance company is considering making a fixed income investment and holding it for 2 years. The manager is comparing two bond issues that have equal yield to maturity at origination. One is a semi-annual coupon bond paying 7%, maturing in 2 years, and priced at USD 101.86. The other is a zero- coupon bond, also maturing in 2 years, and priced at USD 88.85. The manager is uncertain about the outlook for interest rates over the next two years but will incorporate the forecast of the company's economist when making the investment decision. Assuming no default risk, tax implications, or liquidity constraints, which of the following statements is correct?
选项
A.The manager should be indifferent between the bonds if the interest rate is expected to rise since both bonds have the same yield and cash flows.
B.The manager should prefer the zero-coupon bond if the interest rate is expected to rise in the future.
C.The manager should prefer the zero-coupon bond if the expected average interest rate over the next 2 years is less than 6%.
D.The manager should prefer the coupon bond if the expected average interest rate over the next 2 years is less than 6%.
答案
C
解析
C is correct. The current annual yield on both the coupon and zero-coupon bonds are the same at 6% If rates are higher than 6% then the coupon bond would be preferred due to higher reinvestment income.A is incorrect. If the interest rate are expected to rise, coupon bonds would be more attractive because investors can reinvest the coupon at higher interest rates.B is incorrect. If the interest rate are expected to rise, coupon bonds would be more attractive because investors can reinvest the coupon at higher interest rates.D is incorrect. Falling interest rates below the yield to maturity would mean lower reinvestment income for the coupon bond, which makes the coupon bond less attractive.目前息票债券和零息债券的年收益率相同，都是6%。如果利率高于6%，那么息票债券会因为更高的再投资收益而成为首选。一个是不正确的。如果预期利率将上升，息票债券将更具吸引力，因为投资者可以将息票以更高的利率进行再投资。B是不正确的。如果预期利率将上升，息票债券将更具吸引力，因为投资者可以将息票以更高的利率进行再投资。D是不正确的。利率低于到期收益率将意味着息票债券的再投资收入降低，从而降低息票债券的吸引力。