题目
Suppose a bond's price is expected to increase by 5% if its market discount rate decreases by 100 basis points. If the bond’s market discount rate increases by 100 basis points, the bond price is most likely to change by:
选项
A.5%.
B.less than 5%.
C.more than 5%.
答案
B
解析
： B is correct. The bond price is most likely to change by less than 5%. The relationship between bond prices and market discount rate is not linear. The percentage price change is greater in absolute value when the market discount rate goes down than when it goes up by the same amount (the convexity effect). If a 100 basis point decrease in the market discount rate will cause the price of the bond to increase by 5%, then a 100 basis point increase in the market discount rate will cause the price of the bond to decline by an amount less than 5%. ： B是正确的。债券价格最有可能变动不到5%。债券价格与市场贴现率之间不是线性关系。当市场贴现率下降时，价格变化的绝对值百分比大于当市场贴现率上升相同数量时的绝对值百分比（凸性效应）。如果市场贴现率下降100个基点将导致债券价格上涨5%，那么市场贴现率上升100个基点将导致债券价格下跌不到5%。