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lcrcp3 · 2023年10月13日

如题

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NO.PZ202304060100015202

问题如下:

Soehnges also states: “We seek to have a simple process to evaluate trade costs even though I realize some costs are not captured. For example, we do not measure delay and opportunity costs nor are we able to include all explicit and implicit costs.”

Soehnges’s process for evaluating trade costs least likely addresses:

选项:

A.

effective spreads.

B.

implementation shortfall

C.

VWAP transactions costs.

解释:

B is correct. The implementation shortfall method includes consideration of all explicit and implicit costs, as well as impact costs, delay costs, and opportunity costs.

A is incorrect. Effective spreads compare trade execution prices with the midquote price at the time the order is entered. Unlike the implementation shortfall method, effective spreads do not consider all explicit and implicit costs, such as impact costs, delay costs, and opportunity costs.

C is incorrect. VWAP transaction cost estimates compare trade prices to the prices obtained by other traders trading at the same time. Unlike the implementation shortfall method, the VWAP transaction cost estimate does not consider all explicit and implicit costs, such as impact costs, delay costs, and opportunity costs.

题干说的是不能衡量隐性成本?A的spread不也是隐性成本?能衡量?

1 个答案

星星_品职助教 · 2023年10月18日

题干说有的cost的衡量方法不包括delay and opportunity costs。问如下的三种cost的衡量方法中,这个描述最不可能对应的是哪种方法。

由于implementation shortfall包括delay cost和opportunity costs。所以选择此项。

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