Rachel
2019-12-23 22:32老師，請問書本82頁第六題答案This situation, particularly a short squeeze, can lead to substantial losses and a suddenly unbalanced exposure if bor-rowing the underlying equity shares becomes too difficult or too costly for the arbitrageur這一段不理解？這種情形怎么產(chǎn)生loss不太明白？能否詳細(xì)解釋一下？ The convertible bond arbitrage strategy can lose money due to time decay of the convert-ible bond’s embedded call option during periods of reduced realized equity volatility and/or due to a general compression of market implied volatility levels這一段也不理解？time decay 和call option以及volatility之間怎么會(huì)lose money？ Convertible arbitrage strategies have performed best when convertible issuance is high (implying a wider choice among convertible securities as well as downward price pressure and cheaper prices這里的issuance is high指什么？括號里implying不理解是什么意思？能否詳細(xì)解釋一下？
所屬：CFA Level III > Alternative Investments for Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Peter F助教
2019-12-24 17:13
該回答已被題主采納
同學(xué)，你好：1）關(guān)鍵點(diǎn)是 short selling ，這是賣空股票，即先借別人的股票買了賺錢，等借出方需要股票了，再從市場上買入股票，還給借出方，當(dāng)買回股票的時(shí)候，空方都想買了還股票（short squeeze），那么，股票價(jià)格會(huì)上升，可能超過當(dāng)時(shí)借的時(shí)候價(jià)格，就會(huì)虧錢。
2）convertible bond 的價(jià)格等于 普通債券價(jià)格 + 期權(quán)價(jià)格，期權(quán)價(jià)格 = 內(nèi)在價(jià)值 + time value，內(nèi)在價(jià)值與波動(dòng)率成正比，波動(dòng)率下降，內(nèi)在價(jià)值下降，隨著時(shí)間的流逝（time decay），time value 下降，即如果不行權(quán)的話，最終原先的 convertible bond 價(jià)格就會(huì)變?yōu)?普通債券的價(jià)格，損失。
3）issuance is high 是指發(fā)行量大，發(fā)行量大則選擇廣（wider choice），供給大于需求，則價(jià)格向下壓力大，價(jià)格更便宜。
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