问一道题：NO.PZ2018103102000130

问题如下：

Tim, a junior analyst in a securities company, is preparing a strategy report. By analyzing the real estate industry, he found 4 closely related stocks:

Company A is relatively undervalued by 10%;

Company B is relatively undervalued by 5%;

Company C is relatively overvalued by 8%;

And company D is relatively undervalued by 7%.

According to the information above, if Tim wants to use the pairs-trading strategy, which of the following is correct?

选项：

Short sell company A’s stock and short sell company B’s stock;

Buy company C’s stock and short company B’s stock;

Short sell company C’s stock and buy company D’ stock.

解释：

C is correct.

考点：考察对relative valuation方法的理解，以及根据relative value做pairs-trading strategy.

解析：根据pairs-trading strategy利用两个高度相关但股票价格却偏离的股票；购入相对被低估的股票，卖出相对被高估的股票。