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HankHippo · 2020年03月19日

问一道题:NO.PZ2019012201000049

问题如下:

Tong cautions Winthrop that there is a potential pitfall with the proposed request when it comes time to analyze performance. She discloses to Winthrop that equity index futures returns can differ from the underlying index, primarily because of corporate actions such as the declaration of dividends and stock splits.

The risk that Tong discloses regarding the equity futures strategy is most likely:

选项:

A.

basis risk

B.

currency risk

C.

counterparty risk

解释:

Basis risk results from using a hedging instrument that is imperfectly matched to the investment being hedged. Basis risk can arise when the underlying securities pay dividends, because the futures contract tracks only the price of the underlying index. Stock splits do not affect investment performance comparisons.

请问既然说期货是match underlying asset的价格,那分红不是会使股价下跌吗,那这样期货和现货的价格不是都会下降吗,那为何还会变动不一致呢?

2 个答案

mino酱是个小破货 · 2024年06月29日

想问下老师basis riak,如果是10元买入股票的期货,现货10元,但分红了4元,所以现在P=6元,谢谢

所以long future损失4元,但其实现货没有

可以这么假设和理解basis risk吗

maggie_品职助教 · 2020年03月20日

嗨,从没放弃的小努力你好:


这道题问的是为何投资同一个股票指数,一个买它的期货,一个买它的现货但是获得投资收益是不同的。这是因为期货只跟踪基础资产的价格变化,当现货市场分红时,期货市场并不分红。因此导致两笔投资的收益有差异。而基差风险指的是对冲工具与其基础资产的不匹配,因此当现货市场分红时,就会出现基差风险。但是拆股并不影响。因为此时两个市场的价格变动是一致的。

请看原版书对这里的解释:


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


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