Question
A trader is interested in acquiring a 20,000 share position for Stock APPCOV, and the midpoint of its current best bid and best ask prices
A trader is interested in acquiring a 20,000 share position for Stock APPCOV, and the midpoint of its current best bid and best ask prices is CAD 45. APPCOV has an estimated daily return volatility of 0.38% and an average bid-ask spread of CAD 0.14. Assuming the returns of APPCOV are normally distributed, what is closest to the estimated liquidity-adjusted, 1-day 95% Value-at-Risk (VaR) in normal market conditions?
Which is correct?
CAD 5,600
CAD 7,600
CAD 1,600
CAD 6,600
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Financial Accounting
Authors: Jerry J. Weygandt, Paul D. Kimmel, Donald E. Kieso
IFRS 3rd edition
1118978080, 978-1119153726, 1119153727, 978-1119153702, 978-1118978085
