这道题A和B如何思考， recession的时候，不应该liquidity management更重要，而不是考虑alpha； spread change对investment-grade bond 影响更大吗？
1. Stone’s comments to West regarding liquidity risk in credit markets is most likely correct with regard to:
A. spread changes.
B. liquidity management.
C. bid–ask spreads.
原文：
West is concerned about liquidity risk in the credit markets. She believes that since the Great Recession, liquidity has declined, and she asks Stone for his opinion on the topic. Stone replies, “First, trading volume has declined across credit markets, even for higher-quality sectors. As a result, liquidity management has become less relevant to portfolio managers as a means of adding alpha to portfolios. Second, spread changes are more pronounced during times of outflows in high-yield markets relative to investment-grade markets, particularly during times of stress. Therefore, macro forecasting of the economic and credit cycle would aid in positioning the portfolio to compensate for liquidity risk. Third, bid–ask spreads can vary over time and are a good indicator of liquidity. Wider bid–ask spreads in a market downturn create opportunities for portfolio managers to add value to portfolios.”
A is correct. Liquidity management has become more relevant in generating alpha for portfolios since the financial crisis. Stone’s second point regarding spread changes relates to outflows, and its implications for portfolio management are correct. His third point is correct with regard to bid–ask spreads varying over time and being a good indicator of liquidity but is incorrect about bid–ask spreads benefiting portfolio managers, because trading costs are higher. More volatile market conditions often have a negative effect on bid–ask spreads, and therefore, trading costs can detract from portfolio performance.
