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滴滴姐姐~ · 2021年11月13日

CD!CD!CD!

NO.PZ2016071602000024

问题如下:

For a portfolio of illiquid assets, hedge fund managers often have considerable discretion in portfolio valuation at the end of each month and may have incentives to smooth returns by marking values below actual, in high-return months and above actual, in low-return months. Which of the following is not a consequence of return smoothing over time?

选项:

A.

Higher Sharpe ratio

B.

Lower volatility

C.

Higher serial correlation

D.

Higher market beta

解释:

D is correct. Illiquidity creates an understatement of the total risk measure; as a result, the Sharpe ratio will be artificially higher. Illiquidity creates trends in returns (higher serial correlation), as market shocks during a month will be partially recorded in two consecutive months. Illiquidity, however, biases the market beta downward.

这道题就是说 通过平滑return 能有啥后果呗?

平滑return 应该主要就是降低sigma呗?

那sigma降低 correlation 不也降低吗?infrequent sampling那页屁屁踢写的呀?


咋还能选increase correlation呢?

beta咋变不一定吧。。。beta是不是根据CAPM算呀?那return要是平滑了,beta也就平滑了呗?


就是问问CD嗯~

2 个答案

李坏_品职助教 · 2021年11月15日

嗨,努力学习的PZer你好:


Illiquidity, however, biases the market beta downward.


流动性差的资产,交易量少,交易不活跃。市场大涨或者大跌往往和他们没什么关系。所以流动性差的资产的beta低一些。

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李坏_品职助教 · 2021年11月14日

嗨,爱思考的PZer你好:


beta不是capm算的,CAPM是用beta, 市场收益率和无风险收益率作为参数去计算个股的收益率的。beta系数本身是由股票和市场的协方差以及股票自身的标准差决定的,beta = 个股和市场的协方差 / 市场的方差。


题目最后问的是not,也就是哪一项不是smoothing return的结果。


D里面的beta和return smoothing没有太大关系。C 的serial correlation说的是序列自相关性,也就是股票自身和自身的收益相关性。smoothing之后,前一期的return会很大程度上决定后面一期return的高低,这样就使得自相关性比之前高了。







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努力的时光都是限量版,加油!

滴滴姐姐~ · 2021年11月15日

那这里的D beta是怎么推出来会是下降呢~

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