指数型分级基金折溢价的影响因素

发布时间：2018-01-28 17:04

本文关键词： 被动复制指数型分级基金折溢价障碍期权行为金融　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：分级基金发展至今已有近7年时间,从最初的一些设计条款较为复杂的难以被投资者接受的分级基金逐步向前发展,随后是一些被动复制指数型的分级基金成为主流,直到目前市场上最新出现的多空分级基金,分级基金无疑为证券市场上喜好风险的投资者提供了更多的选择。分级证券投资基金,简称分级基金,实际上是将同一个基金产品进行了结构化分级,不同份额享有不同收益风险的一种创新型的基金产品,创新点主要在于一种产品的两种份额能够同时满足市场上不同风险偏好的投资者,通过产品内部两种份额的风险转移,达到该产品最终的风险平衡。本篇论文试图解答当前分级基金市场上一个非常有趣的想象：分级基金的A份额收盘价总是折价交易,而B份额总是溢价交易。带着这个问题出发,本文首先将研究对象缩小为当前分级基金市场上设计条款最主流,相对于投资者来讲最容易理解、也最容易被接受的被动复制指数型分级基金,通过对这类分级基金设计条款的介绍与研究,试图利用蒙特卡洛模拟的方法对隐含在这类分级基金中的障碍期权进行定价,最后,在剔除障碍期权因素的影响下,从行为金融学的角度出发,将能够反映投资者情绪的一些指标对分级基金B份额的溢价率进行回归分析,试图从投资者心理和情绪的角度解释分级基金B份额总是溢价的现象。本篇论文使用的方法为蒙特卡洛模拟为障碍期权定价,数据来源为wind金融数据库,结论是B份额溢价率一方面是由B份额隐含的障碍期权决定的,另-方面是由投资者情绪如处置效应和赌徒的谬误所影响的。
[Abstract]:Classification funds have been developed for nearly 7 years, from the initial design terms are more complex and difficult to be accepted by investors. Then came the passive replication of index-based rating funds into the mainstream until the market is the latest long-short rating funds. Graded funds undoubtedly provide more choices for risk-loving investors in the securities market. Classified securities investment funds, referred to as hierarchical funds, are actually structured classification of the same fund products. Different shares enjoy different income risk of an innovative fund product, the innovation point is that the two shares of one product can meet different risk preferences of investors in the market at the same time. Risk transfer through two shares within the product. To achieve the ultimate risk balance of the product. This paper attempts to answer a very interesting imagination in the current graded fund market: the A share closing price of the graded fund always trades at a discount. B share is always trading at a premium. With this problem, this paper first reduces the research object to the most mainstream design terms in the current hierarchical fund market, compared with investors, the most easily understood. It is also the most easily accepted passive replication index classification fund, through the introduction and research of the design terms of this kind of classification fund. This paper attempts to use Monte Carlo simulation method to price the barrier options hidden in this kind of classified funds. Finally, under the influence of excluding obstacle options, we proceed from the perspective of behavioral finance. Some indicators reflecting investor sentiment will be used to analyze the premium rate of B share of graded funds. This paper attempts to explain the phenomenon that B share of graded funds is always at a premium from the perspective of investor psychology and emotion. The method used in this paper is Monte Carlo simulation for the pricing of barrier options, and the source of the data is wind financial database. The conclusion is that the B share premium rate is determined by the implied barrier option of B share on the one hand, and on the other hand by investor sentiment such as disposition effect and gamblers' fallacy.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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