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Spencer · 2020年03月06日

问一道题:NO.PZ2015121810000068

问题如下:

The bid–ask spread for very liquid, high-volume ETFs will be least influenced by the:

选项:

A.

market maker’s desired profit spread.

B.

creation/redemption fees and other direct costs.

C.

likelihood of receiving an offsetting ETF order in a short time frame.

解释:

B is correct. ETF bid–ask spreads are generally less than or equal to the combination of the following:
± Creation/redemption fees and other direct costs, such as brokerage and exchange fees
+ Bid–ask spread of the underlying securities held by the ETF
+ Compensation for the risk of hedging or carrying positions by liquidity providers (market makers) for the remainder of the trading day
+ Market maker’s desired profit spread
– Discount related to the likelihood of receiving an offsetting ETF order in a short time frame
For very liquid and high-volume ETFs, buyers and sellers are active throughout the trading day. Therefore, because most of these ETF trades are matched extremely quickly and never involve the creation/redemption process, the first three factors listed do not contribute heavily to their bid–ask spreads. So, creation/redemption fees and other direct costs are not likely to have much influence on these ETFs’ bid–ask spreads.

老师请问C如何理解呢

3 个答案

Emma0627 · 2024年08月04日

如果一个卖出需求很容易找到一个买入的指令进行匹配,短时间内交易容易被offset,不是恰恰证明c的影响很小吗?

还有c选项是专指发生在一级还是二级市场中吗?

丹丹_品职答疑助手 · 2020年03月27日

同学,你好,题干中明确说了是least,不是不被影响也不是c项不正确,而是我们要在三个选项中选择最优选项。显然相比于c,b选项是影响bid-ask spread 最重要的选项。不是吗?

在cfa考试中,同学也需要注意通读所有的选项,在所有选项中选择最优。

丹丹_品职答疑助手 · 2020年03月06日

同学你好,本题考查ETF-Trading Costs

同学你好,对于问题原版书中有详细的介绍。针对选项C,对于交易活跃的大型ETF,他们的bid-ask spread通常比较小并且交易活跃,因此二级市场中,一个卖出需求很容易找到一个买入的指令进行匹配,短时间内交易容易被offset,因而C选项不正确。请知悉

李艳林 · 2020年03月21日

短时间被匹配,所以不会受影响,c怎么就不正确了呢?

Ykit · 2024年05月21日

没理解这个评论。。。如果短时间内交易容易被offset,那不就是不会影响bid-ask spread么?这题问的不就是spread受什么影响最小?