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建伟 · 2020年04月01日

问一道题:NO.PZ2015122801000004 [ CFA I ]

问题如下:

Daisy shorts 1800 shares of KIY company's stock on a 30% initial margin and the broker's lending rate is 2.5%. The current price is $65 per share. The broker charges a commission of $0.02 per share on sales but purchases for free. KIY stock pays an annual dividend of $1 per share. One year later, Daisy buys the 1800 shares at a price of $58 per share and close the position.Which of the following is closest to Daisy's rate of return?

选项:

A.

24.98%.

B.

24.81%

C.

32.55%.

解释:

B is correct.

Initial principal = 1800*65*0.3= 35100. The commission on sale( calculating as a part of initial cost)=1800*0.02=36

Remaining principal=1800*65*0.7=81900 ,so the first expense---lending interest=81900*2.5%=2047.5

The second expense---dividend payment=1*1800=1800, and there is no purchase commission.

The return on this investment=1800*65-1800*58-36-2047.5-1800=8716.5

Yield=8716.5/(35100+36)=24.81%

老师,这里他只借了70%的股票,所以为什么不是支付1260的分红成本呢?
1 个答案

Debrah_品职答疑助手 · 2020年04月02日

同学你好,他是出了30%的本金,借了70%的股票,合计把100%的股票卖空。所以如果股票有股利,那么你需要支付等额的股息给你的股票借方。