an2r020 viz wr My courses » (20/02) MScFE 640 Portfolio Theory and Asset Pricing (C19-S2) > Module 7: Transaction Costs, Incentives, Trading and Market Frictions » Quiz M7 Started on State Completed on Time taken Marks Grade Sunday, 12 April 2020, 5:14 PM Finished Sunday, 12 April 2020, 5:33 PM 18 mins 22 secs 14.00/15.00 18.67 out of 20.00 (93%) hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 45an2r020 viz Ques Correct Marl 1.00 out of 2.09, ‘On Tuesday a dealer places a one-day limit order on behalf of an investor to. purchase 800 shares of XYZ for $80 or better, No shares are purchased on ‘Tuesday and the closing price is $81.20. The closing price on Monday was $79.80. ‘On Wednesday, the dealer places another one-day limit order to purchase 800 shares of XYZ for $81.40 or better. 600 shares are purchased for this price. The closing price on Wednesday is $81.90. On Thursday, the dealer makes one more attempt to purchase XYZ by placing a limit order for 200 shares at $81.90 or better, The order is not filled, The closing price on Thursday is $82.00. Fees of 0.5% of each transaction value are charged by the dealer. What is the value (in $) of the realized profit/loss component of the implementation shortfall? Select one: $960 © $i20¥ so $320 hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 28an2r020 viz 2 Ques Correct Marl 1.00 out of 2.09, Which of the following statements relating to the VWAP as a measure of trading costs is/are true? + Statement IA limitation of the VWAP is that it cannot be gamed by traders, + Statement 2: The usefulness of the VWAP is limited when the trader's own trades are a significant contributor to the VWAP. Select one: Neither statement 1 nor statement 2 Statement 1 only Both statement land 2 © Statement 2 only v Question 3 correct Mark 1.00 out of 00 ‘On Wednesday, a dealer places a limit order on behalf of an investor to purchase 10 000 shares of ABC for $10.05 or better, 8 000 shares are purchased, The limit order expires at the end of Wednesday. The closing price on Wednesday is $10.08. The closing price on Tuesday was $10.04. On Thursday the dealer places another limit order to purchase 2 000 shares for $10.06. The shares are purchased and the closing price on Thursday is $10.06. Fees of 0.5% of each transaction value are charged by the dealer, What is the implementation shortfall (in $)? Select one: $422.60 ~$222.60 © $622.60 ¥ $502.60 hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 36an2r020 viz Question Correct Marl 1.00 out of 2.09, A dealer quotes the following bid and ask prices for pound sterling (é): * Bid to buy: $1.26 * Offer to sell: $1.28 What is the bid-ask spread? Select one: £0.02 © so02y $0.01 $0.04 hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 ans.an2r020 viz 5 Ques Correct Marl 1.00 out of 2.09, ‘On Tuesday a dealer places a one-day limit order on behalf of an investor to. purchase 800 shares of XYZ for $80 or better, No shares are purchased on ‘Tuesday and the closing price is $81.20. The closing price on Monday was $79.80. ‘On Wednesday, the dealer places another one-day limit order to purchase 800 shares of XYZ for $81.40 or better. 600 shares are purchased for this price. The closing price on Wednesday is $81.90. ‘On Thursday, the dealer makes one more attempt to purchase XYZ by placing a limit order for 200 shares at $81.90 or better, The order is not filled, The closing price on Thursday is $82.00. Fees of 0.5% of each transaction value are charged by the dealer. What is the gain (in $) of the paper portfolio? Select one: © $1760.00 4 $1320.00 $15.80 $1515.80 hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 sitsan2r020 viz 6 Ques Correct Marl 1.00 out of 2.09, ‘On Wednesday, a dealer places a limit order on behalf of an investor to purchase 10 000 shares of ABC for $10.05 or better. 8 000 shares are purchased, The limit order expires at the end of Wednesday. The closing price on Wednesday is $10.05, The closing price on Tuesday was $10.04, On Thursday the dealer places another limit order to purchase 2 000 shares for $10.06. The shares are purchased and the closing price on Thursday is $10.06. Fees of 0.5% of each transaction value are charged by the dealer. What is the gain (in $) of the paper portfolio? Select one: -$302.60 $100.00 $160.00 © $200.00 4 hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 etsan2r020 viz Question 7 Correct Marl 1.00 out of 2.09, Consider the following situation: The Initial Public Offering (IPO) of a manufacturer of batteries for electric vehicles will occur in one week's time. An investor has determined that the shares have a value of $2.50 each. They do not wish to pay more than this price. They wish to purchase 10 000 shares. Is amarket order or a limit order more appropriate? Select one: A limit order, because they do not wish to buy more than 10 000 shares. A market order, because shares will be offered to all market participants © Alimit order, because they do not wish to pay more than $2.50 per share. v A market order, because they do not wish to pay more than $2.50 per share, hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 16an2r020 viz 8 Ques Correct Marl 1.00 out of 2.09, ‘On Wednesday, a dealer places a limit order on behalf of an investor to purchase 10 000 shares of ABC for $10.05 or better. 8 000 shares are purchased, The limit order expires at the end of Wednesday. The closing price on Wednesday is $10.05, The closing price on Tuesday was $10.04, On Thursday the dealer places another limit order to purchase 2 000 shares for $10.06. The shares are purchased and the closing price on Thursday is $10.06. Fees of 0.5% of each transaction value are charged by the dealer. What are the total explicit costs? Select one: $502.50 $503.00, © $502.604 $402.00 hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 antsan2r020 viz 9 Ques Correct Marl 1.00 out of 2.09, ‘The following table presents the limit order book for a share, XYZ, on a market. Bids to buy Offers to sell Quantity Price Quantity Price 250 $8750 200 $91.00 350 $8625 160 $9125 75 $85.05 320) $92.05 80 $84.00 250) $93.25 What are the inside bid and the inside ask respectively? Select one: The inside bid is 200 and the inside ask is 250, ‘The inside bid is $91.00 and the inside ask is $87.50. The inside bid is 250 and the inside ask is 200 © The inside bid is $87.50 and the inside ask is $91.00. y hitps:mastors.uqu orgimodiquziroview php?allempt=1828068.emid=38088 95an2r020 viz wr Question 10 Incorrect “fark 0,00 out of 1.00 Consider the following four orders related to shares in the company JET: * ORDER A: Sell 12.000 JET shares as quickly as possible. * ORDER B: Purchase 10 000 JET shares for $32 or better. Bid expires in one week. ‘* ORDER C: Sell 15 000 JET shares for $35 or better. Offer expires in one month. * ORDER D: Buy 11 000 JET shares before the end of the day Which answer correctly classifies the orders? Select one: Ais a market order; B, C, and D are limit orders, Band C are limit orders; A and D are market orders. © Aand Dare limit orders; B and C are market orders. % All the orders are limit orders, hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 1015an2r020 viz Question 1 Correct Marl 1.00 out of 2.09, Consider the following situation: An investor has been trying to sell an illiquid holding for the past year by submitting consecutive limit orders, each with an expiry date of one month from submission. They have not yet sold the holding. They have decided to accept the best market price and sell as quickly as possible. Is amarket order or a limit order more appropriate? Select one: A market order, because they wish to sell their entire holding A limit order, because they wish to sell their entire holding, © Amarket order, because they will accept the best bid and wish to sell as. quickly as possible. 7 A limit order, because they will accept the best bid and wish to sell as quickly as possible. hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 nisan2r020 viz Question 12 Correct Marl 1.00 out of 2.09, Consider the following situation: ‘The manager of an actively managed mutual fund has received redemption notices which exceed the fund's current cash balance, making it necessary to liquidate investments to raise cash. The fund has committed to paying investors within two days of the receipt of a redemption notice. Is a market order or a limit order more appropriate to achieve the manager's objective of liquidating investments? Select one: A market order, because the investments do not have to be liquidated within two days. A limit order, because the manager has a limited quantity of shares they wish to sell. A limit order, because the mutual fund manager is an active manager and generates return by transacting at appropriate prices. A market order, because the investments must be liquidated within two days. v 126an2r020 viz Question 13 Correct Marl 1.00 out of 2.09, Consider the limit order books for a share, DEF, on four markets (A to D) below. Which market is the deepest? Marker A Marker B Bids tobuy (Offers to sell Bids tobuy Offers to sell Quantity [Price | Quantity | Price Quantity | Price | Quantity | Price 3en_ | R920 | 37a | R922 3259 [Roa2| 228 | R935 2aes_| R790 | 2565 | R932 asa | Raa7| 784 | R9AO 2a20_| R742 | 34a0 [R934 3409 [R692 | 2500 | RESO 2035 | Reio | 4352 | Rot 3943 | Rs1a| 2393 | R962 =| 108i 14078 5) 14865, 10.805 Marker C Market D Bids tobuy (Offers to sell Bids tobuy (Offers tell Quantity] Price | Quantity] Price ‘Quantity | Price [Quantity | Price 4570 _| R903 | azea [R925 471 [R904] 2198 | R908 aoa | R6as [ain | Roa 4506 | R901 3193 | R915 2639 _| R965 3100 | Raa9| 2457 | R92 ETC 9094 35 [R768 | 4297 | R935 3573_| R576 x] 19075 was Select one: Market A. Market B Market C © MarketDy hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 1315an2r020 viz Question 14. Correct Marl 1.00 out of 2.09, Consider the following description of an iceberg order: * Aniceberg order is a type of market order where only a fraction of the total order is made visible to the market at any given time. Is the description accurate? Select one: Yes, with regards to the type of order but not accurate regarding the description. © _ No, with regards to the type of order but accurate regarding the description. y No, with regards to the type of order and the description, Yes, with regards to the type of order and the description Question 1S correct Mark 1.00 out of 00 n the 2ist of October, 2016, the VWAP for ABC was $56.12. A dealer purchased 500 shares of ABC for a client on this day for $56.24, Was the trade good quality? Select one: No, because only 500 shares were purchased. Yes, because the execution price is greater than the VWAP, © No, because the execution price is greater than the VWAP. v Yes, because the VWAP is lower than the execution price ‘4 Live Session M7 Jump to. Compiled Notes M7 > hitpssmastors.ugu orgimodiquziroview php?allempt=1828068.emic=38088 tatsan2r020 viz wr 19115