NO.PZ2021060201000003
问题如下:
Johnson analyzes an
event-driven strategy involving two companies, AAA and TTT. AAA’s management, considering that its own shares are
overvalued, so uses its shares to acquire TTT.Johnson‘s customer concern about
this type of strategy because of the potential for loss if the acquisition
unexpectedly fails. Johnson tell his customer that he can use derivatives to
protect against this loss.
Which of the following set of derivative positions will most likely satisfy the customer’s concern about the event-driven strategy involving AAA and TTT?
选项:
A.
Long in-the-money puts on AAA shares and long out-of-the-money calls on TTT shares
B.
Long out-of-the-money calls on AAA shares and long out-of-the-money puts on TTT shares
C.
Long out-of-the-money calls on AAA shares and short out-of-the-money calls on TTT shares
解释:
B is correct
事件驱动策略是一种股票对股票的并购套利策略。在该策略中,由于收购公司(AAA)的管理层认为其股票被高估,它将以特定比例提供AA股份以换取目标公司(TTT)的股份。并购套利基金经理随后将按照与要约相同的比例买入TTT股票并卖出AAA股票,希望在交易成功完成后赚取价差。
对于大多数收购而言,交易的最初宣布将导致目标公司的股价朝着收购价格上涨而收购方的股价下跌(因为其流通股可能被稀释或将现金用于非收购目的)股息支付)。如果收购不成功,如果目标公司的股价已经上涨和/或收购方的股价因预期收购而下跌,则管理人将面临损失。当合并交易确实失败时,目标公司股票的初始价格上涨和收购方股票的初始价格下跌通常会逆转。在首次宣布合并后进入合并情况的套利者,他们在目标公司股票中的多头头寸和在收购方股票中的空头头寸可能会遭受重大损失。
为了管理收购失败的风险,基金经理可以购买 AAA 股票的虚值看涨期权(以保护空头头寸)并购买 TTT 股票的虚值看跌期权(以防止TTT公司价值损失) )。这样的头寸将提供保护,可以满足对这种策略的损失的担忧。
为什么不可以short call?