问题 多项选择题

关于Alpha套利,下列说法正确的有( )。

A.现代证券组合理论认为收益分为两部分:一部分是系统风险产生的收益;另一部分是Alpha

B.在Alpha套利策略中,希望持有的股票(组合)没有非系统风险,即Alpha为0

C.Alpha套利策略依靠对股票(组合)或大盘的趋势判断来获得超额收益

D.Alpha策略可以借助股票分红,利用金融模型分析事件的影响方向及力度,寻找套利机会

答案

参考答案:A,D

解析: Alpha指股票或其组合的超额收益。现代证券组合理论认为收益分为两部分:一部分是系统风险产生的收益;另一部分是股票或其组合的超额收益,即Alpha,A项说法正确;在Alpha套利策略中,希望持有的股票(组合)具有正的超额收益,即Alpha>0,B项说法错误;Alpha策略并不依靠对股票(组合)或大盘的趋势判断来获得超额收益,而是研究其相对于指数的投资价值,C项说法错误;Alpha套利又称“事件套利”,可以借助市场中的一些“事件”,如股票分红、股改等这些事件机会,利用金融模型分析事件的影响方向及力度,寻找套利机会,D项说法正确。故选AD。

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