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Diana · 2024年05月06日

C为什么不对?

NO.PZ2023040601000126

问题如下:

Assuming arbitrage costs are minimal, which of the following is most likely to occur when the share price of an ETF is trading at a premium to its intraday NAV?

选项:

A.

New ETF shares will be created by the ETF sponsor.

B.

Redemption baskets will be received by APs from the ETF sponsor.

C.

Retail investors will exchange baskets of securities that the ETF tracks for creation units.

解释:

A is correct. When the share price of an ETF is trading at a premium to its intraday NAV and assuming arbitrage costs are minimal, APs will step in and take advantage of the arbitrage. Specifically, APs will step in and buy the basket of securities that the ETF tracks (the creation basket) and exchange it with the ETF provider for new ETF shares (a creation unit). These new shares received by APs can then be sold on the open market to realize arbitrage profits.

C为什么不对?

1 个答案

品职助教_七七 · 2024年05月06日

嗨,从没放弃的小努力你好:


Retail investors不能和ETF issuer直接交易。C选项偷换了概念,正确的说法是将Retail investors换成AP。由AP和ETF issuer交易,把baskets of securities给ETF issuer ,从而得到creation unit。

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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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