NO.PZ202209060200004505
问题如下:
Stone’s comments to West regarding liquidity risk in credit markets is most likely correct with regard to:
选项:
A.spread changes.
B.liquidity management.
C.bid–ask spreads.
解释:
SolutionA is correct. Liquidity management has become more relevant in generating alpha for portfolios since the financial crisis. Stone’s second point regarding spread changes relates to outflows, and its implications for portfolio management are correct. His third point is correct with regard to bid–ask spreads varying over time and being a good indicator of liquidity but is incorrect about bid–ask spreads benefiting portfolio managers, because trading costs are higher. More volatile market conditions often have a negative effect on bid–ask spreads, and therefore, trading costs can detract from portfolio performance.
B is incorrect because his first point is incorrect. Liquidity management has become more relevant to portfolio managers as a means of adding alpha to portfolios.
C is incorrect because his third point is incorrect. More volatile market conditions often have a negative effect on bid–ask spreads, and therefore, trading costs can detract from portfolio performance.
以及这个知识点在哪儿呀?