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Amber · 2020年08月30日

问一道题:NO.PZ2019012201000064

问题如下:

Which fund in Exhibit 1 most likely has the greatest implicit costs to implement its strategy?

选项:

A.

Fund 1

B.

Fund 2

C.

Fund 3

解释:

Because Fund 1 has a large AUM but focuses on small-cap stocks, holds a relatively small number of securities in its portfolio, and prefers to make large trades, Fund 1 likely has the highest implicit costs. Each of these characteristics serves to increase the market impact of its trades. Market impact is a function of the security’s liquidity and trade size. The larger a trade size relative to a stock’s average daily volume, the more likely it is that the trade will affect prices. The relatively low level of trading volume of small-cap stocks can be a significant implementation hurdle for a manager running a strategy with significant assets under management and significant positive active weights on smaller companies.

老師 請問顯性成本和隱性怎麼分? 會以為交易成本大是顯性成本。

另外,請問在教材哪一頁有分和說明?

謝謝老師!

1 个答案
已采纳答案

maggie_品职助教 · 2020年08月31日

嗨,爱思考的PZer你好:


explicit costs(比如佣金、交易成本、印花税等),implicit costs,比如市场冲击、机会成本等即如有大单买入会推高股价,你可能就不能以最理想的价格买入,超过的部分就是隐形成本。


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虽然现在很辛苦,但努力过的感觉真的很好,加油!


Amber · 2020年09月17日

非常謝謝老師詳細解答

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