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今天也要来一杯 · 2020年01月31日

问一道题:NO.PZ2019012201000008

问题如下:

Which of the following statements about securities lending and covered call writing is incorrect?

Statement 1 Securities lending would increase income through reinvestment of the cash collateral but would require the fund to miss out on dividend income from the lent securities.

Statement 2 Writing covered calls would generate income, but doing so it requires portfolio manager simultaneously deposits money equal to the exercise price into a designated account.

选项:

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释:

C is correct.

考点:Income in an equity portfolio

解析:表述1是错误的,因为出借股票的股利是由股票借款人为股票出借人"制造"的——也就是说,股票借款人要确保股票出借人在没有出借股票的情况下获得的股利得到了补偿。因此,表述一是不正确的。

表述2也是错误的,因为需要将与行权价格相等的款项存入指定账户,这是卖出看跌期权的要求,而不是卖出看涨期权需要做的。

请问 题干中"require the fund to miss out on dividend income'这句该怎么理解?是指他判断股票出借者将会损失这段期间的分红么?

1 个答案

maggie_品职助教 · 2020年02月07日

是的,这个fund是股票的出借方,它可以通过融券(securities lending)来获得额外收益,但是这个策略要求它(这个fund)要错过获得股利收益的机会。这个说法不对,fund并不会错过股利。

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