中国股票型开放式基金流动性价值研究

发布时间：2018-03-22 14:43

本文选题：股票型开放式基金　切入点：投资机会　出处：《暨南大学》2012年博士论文　论文类型：学位论文

【摘要】：股票型开放式基金的流动性在本文中主要是指股票型开放式基金持有的银行存款、结算备付金和存出保证金等，有点类似于公司所持有的现金及其等价物。开放式基金流动性除了账面价值外，还蕴含有某种潜在价值。对这种潜在价值进行评估，对于开放式基金的流动性管理具有重要意义。开放式基金根据制度要求，要持有不低于资产净值5%的现金或国债以应对投资者的赎回。但股票型开放式基金大都持有13%左右的现金及其等价物，也就是说，大多数基金是持有超额流动性的，流动性的收益一般低于股票或债券，那么开放式基金为什么持有过量的流动性呢？超额流动性不仅仅是账面上的价值，，还具有隐含的期权价值。因为持有超额流动性给予了开放式基金在投资机会到来时，及时抓住投资机会而提高盈利的选择权。如果股票型开放式基金没有超额流动性，则当投资机会到来时，基金难以及时抓住投资机会，甚至有可能错过投资机会。超额流动性赋予开放式基金的这种未来选择权是有价值的，这是一种期权价值。既然开放式基金持有的超额流动性是用于抓住未来投资机会的，那么，什么是基金的投资机会呢，结合巴菲特和格雷厄姆关于投资机会的观点，提出投资机会就是能使基金获得超过交易成本和流动性持有成本的收益的投资机会，由这些投资机会构成的集合就是投资机会集，结合企业对投资机会价值的评估方法，评估了开放式基金流动性的投资机会集的价值。开放式基金持有的超额流动性就是要在流动性和投资机会集之间互换以增加基金的收益，这一点类似于一种新型期权——交换期权，借鉴交换期权的定价原理评估了开放式基金超额流动性的价值。这种价值随市场行情的不同而不同，行情好时价值高，行情差时价值低。研究流动性价值的目的是为基金管理者提供一些管理建议或管理工具。开放式基金的流动性管理非常重要，因为开放式基金不仅要应对一般企业所面临的流动性管理问题，还要处理一类特殊问题——投资者的申购赎回对流动性的冲击问题，这使得开放式基金要确定适当的流动性持有量更加困难。但量与价有着相互影响的关系，如果知道了流动性的价值，确定流动性的量就会变得容易些，正是基于上述考虑，本文分析开放式基金的流动性的特点和流动性的价值，并在此基础上，分析了流动性价值的影响因素。
[Abstract]:The liquidity of open-end stock funds in this paper mainly refers to bank deposits, settlement provisions and deposit deposits held by equity open-ended funds. It's kind of like cash and its equivalents held by a company. Open-end fund liquidity has some potential value in addition to book value. It is of great significance to the liquidity management of open-end funds. According to the requirements of the system, open-end funds should hold no less than 5 percent of their net assets in cash or treasury bonds to meet the redemption of investors. However, most of the equity open-ended funds hold about 13 percent of their cash and their equivalents, that is to say, Most funds hold excess liquidity and the return of liquidity is generally lower than that of stocks or bonds. So why do open-end funds hold excess liquidity? Excess liquidity is not only the book value, but also the implied option value. If the equity open-end fund has no excess liquidity, it will be difficult for the fund to seize the investment opportunity when the investment opportunity comes. Even missed investment opportunities. Excess liquidity gives open-end funds this future option that is valuable, which is an option value. Since the excess liquidity held by open-end funds is used to seize future investment opportunities, what are the investment opportunities of funds, combined with Buffett's and Graham's views on investment opportunities? It is put forward that the investment opportunity is the investment opportunity which can make the fund obtain the income that exceeds the transaction cost and the liquidity holding cost. The set of these investment opportunities is the investment opportunity set, which combines the evaluation method of the investment opportunity value of the enterprise. The paper evaluates the value of the investment opportunity set of open-end fund liquidity. The excess liquidity held by open-end fund is to swap between liquidity and investment opportunity set to increase the return of the fund. This is similar to a new type of option-exchange option, which uses the pricing principle of swap options to evaluate the value of excess liquidity of open-end funds. When the market is bad, the value is low. The purpose of studying liquidity value is to provide some management advice or management tools for fund managers. The liquidity management of open-end funds is very important, because open-end funds not only have to deal with the liquidity management problems faced by general enterprises. There is also a special problem-the impact of investors' requisition and redemption on liquidity, which makes it more difficult for open-end funds to determine appropriate liquid holdings. But there is an interplay between volume and price. If we know the value of liquidity, it will become easier to determine the amount of liquidity. Based on the above considerations, this paper analyzes the characteristics of liquidity and the value of liquidity of open-end funds, and on this basis, The influencing factors of liquidity value are analyzed.
【学位授予单位】：暨南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

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