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cst6666 · 2024年05月25日

请问能否用课上t0 流入 t1 流出的角度来解释下这个问题

  1. CFA I
  2. Equity

NO.PZ2023040301000027

问题如下：

You decide to sell short 100 shares of Charlotte Horse Farms when it is selling at its yearly high of 56. Your broker tells you that your margin requirement is 45% and that the commission on the purchase is $155. While you are short the stock, Charlotte pays a $2.50 per share dividend. At the end of one year, you buy 100 shares of Charlotte at 45 to close out your position and are charged a commission of $145. What is your rate of return on the investment?

选项：

A.

20.56%

B.

22.65%

C.

18.56%

解释：

Profit on a short sale = Begin value — Ending value — Dividends( Interest)— Trans. costs

ü Beginning value of investment = $56.00 x 100 =$5,600 (Sold under a short sale arrangement)

ü Ending value of investment = $45.00 x 100=$4,500

ü Transaction costs= $155 + $145 =$300.00

ü Dividends = $2.50 x 100 shares =$250.00

ü Profit= $5,600 — $4,500 — $250 — $300= $550.00

Ø Initial investment = Margin requirement + Commission = (0.45 x $5,600) + $155= $2,520 + $155= $2,675

The rate of return on your investment is 20.56%=$550.00 / $2,675

因为我用流入流出的角度来项这个问题 我以为45*100+145 是initial investment

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1 个答案

王园圆_品职助教 · 2024年05月25日

同学你好，注意，这道题是卖空 sell short，所以所有的现金流和一般的卖股票再卖出的获利方式是正好相反的


0时刻卖空100股，可以收到100*56 =5600这么多的credit——这是现金流入5600

但是卖空同样需要账面有现金来支持该交易（以防股票大涨产生巨亏的时候投资者可以有钱买回股票平仓），45%的margin requirement就是期初投资者需要账上有的钱 = 5600*45% = 2520

此外，期初卖空需要交broker佣金，也就是现金流出155

期间分红对卖空者来说是支出（因为这个分红给了现在拥有这个股票的第三方，但对于借出股票的股票拥有者来说，依然有收到分红的权力，那就只能由卖空的这个投资者来支付这个分红给这个股票拥有者），所以现金流出2.5*100 = 250

1时刻买回该股票 = 45*100 = 4500——这是现金流出

支付买回股票的佣金145 ——现金流出

总收入 = 现金流入- 流出 = 5600-155-250-4500-145 = 550

总期初投资 = 期初冻结投资者的钱+期初佣金 = 2520+155 =2675

收益率 = 550/2675 =20.56%

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