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非恒名 · 2023年04月29日

能不能讲一下liquidity 和spread change 之间的关系

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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:

Solution

A 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?

1 个答案

pzqa015 · 2023年04月29日

嗨,爱思考的PZer你好:


这是一个综合的知识点

liquidity risk是指不能按照预定的价格即使变现资产的风险,或者不能按照预定的价格及时买入资产的风险。

liquidity risk越小,则liquidity spread越小,反之越大。

liquidity risk越大,也会导致bida-ask spread变大。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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