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HG · 2020年05月08日

问一道题:NO.PZ201512300100000101

* 问题详情,请 查看题干

问题如下:

1. Based on Statement 2, which of the following sources of perceived mispricing do active investment managers attempt to identify? The differencebetween:

选项:

A.

intrinsic value and market price.

B.

estimated intrinsic value and market price.

C.

intrinsic value and estimated intrinsic value.

解释:

A is correct.

The difference between the true (real) but unobservable intrinsic value and the observed market price contributes to the abnormalreturn or alpha which is the concern of active investment managers.

perceived mispricing不是IV(analyst)-mkt price吗?true mispricing才是解答说的啊

2 个答案

Debrah_品职答疑助手 · 2020年05月11日

同学你好,针对你的追问,A和C都是Source,但是statement 2里面只提到了α,而没有提到Error。要针对题目解答,加油。

Debrah_品职答疑助手 · 2020年05月09日

同学你好,这道题目问的不是perceived mispricing是多少,而是要结合statement2的描述,alpha是理解perceived mispricing的重要source,哪个选项表示了alpha。只有中真实价值(IVacutual)-price的部分才可以获得alpha。因此,主动投资的基金经理就是在试图找到这部分的定价误差从而尽可能避免。