单选题
An investor gathers the following information about three U. S.
Treasury annual coupon bonds:
|
|
Bond 1 |
Bond 2 |
Bond 3 |
|
Maturity |
2 - year |
1 - year |
2 - year |
|
Price |
$10000 |
$476.19 |
$9500 |
|
Coupon |
5% |
0% |
0% |
|
Par Value |
$10000 |
$500 |
$10500 |
|
Misvaluation |
$o |
$o |
9 |
If bond price
converge to their arbitrage-free value, what should happen to the price of Bond
3?
- A. Selling pressure should decrease its value.
- B. Buying pressure should increase its value.
- C. Selling pressure should increase its value.
【正确答案】
B
【答案解析】Currently, an arbitrage opportunity exists with the three bonds. An investor could purchase Bonds 2 and 3 and sell Bond 1 for an arbitrage-free profit of $23.81(10000-476.19-9500). This action will result in positive income today in return for no future obligation - an arbitrage opportunity. Hence, buying pressure on Bond 3 should increase its value to the point where the arbitrage opportunity would cease to exist.