June Rutherford is preparing a research report on Andronicus Fund, an offshore hedge fund that specializes in identifying market pricing inefficiencies and profiting from the arbitrage opportunities they present. Rutherford includes these statements in her report: Statement 1: The rate of return that investors require from Andronicus should reflect the risk that the fund managers will not consistently capture positive abnormal returns from the anomalies they have identified. Statement 2: Arbitrage trading is unlikely to bring about fully efficient prices because Andronicus and other arbitrageurs will not trade if the gains to be captured are less than their transactions costs. Are Rutherford’s statements correctStatement 1 Statement 2（）①A. CorrectCorrect ②B. CorrectIncorrect ③C. Incorrect Correct
A. ①
B. ②
C. ③
参考答案：A
解析：
Both of Rutherford’s statements are correct. The required rate of return from a strategy that takes advantage of pricing anomalies should include a premium for strategy risk. Market prices can remain less than perfectly efficient if the transactions costs of the arbitrage trades that would force them closer to efficient prices are greater than the gains that the trades offer.