免费的午餐:分级基金溢价的案例研究

发布时间：2018-05-21 16:24

本文选题：分级基金 + 无风险套利　；参考：《财贸经济》2012年07期

【摘要】：本文简单回顾了分级基金的发展历程,并系统梳理了其类型和条款设计。通过对分级基金市场表现的研究,发现在扣除交易成本等因素后,具有配对转换功能的指数型分级基金存在溢价,即子基金价格之和大于母基金净值。而主动管理型分级基金则不存在溢价。进一步研究发现,指数型分级基金溢价来自于其B份额,且标的指数越容易做空,溢价越大。这说明缺乏对冲策略并非是分级基金溢价的来源。相反,有对冲策略的指数型分级基金B份额为市场提供了一个类似于指数期权性质的新产品,由于市场的不完备性,市场愿意为新产品支付溢价。其次,我们对影响价差的因素进行分析,发现子基金溢价随时间的变动与市场情绪指数和交易量相关,而与母基金的业绩表现无关。
[Abstract]:This paper briefly reviews the development of classified funds, and systematically combs their types and terms design. Through the study of the market performance of graded funds, it is found that after deducting the transaction cost and other factors, there is a premium in the index graded funds with the function of matching and converting, that is, the sum of the price of the sub-funds is greater than the net value of the parent fund. The active management of the classification fund is not a premium. Further study shows that the premium of index graded fund comes from its B share, and the more easily the underlying index is short, the bigger the premium. This suggests that a lack of hedging strategies is not a source of premium levels. On the contrary, the index graded fund B share with hedging strategy provides the market with a new product similar to that of exponential option. Because of the incompleteness of the market, the market is willing to pay a premium for the new product. Secondly, we analyze the factors that affect the spread, and find that the change of sub-fund premium over time is related to the market sentiment index and trading volume, but not to the performance of the parent fund.
【作者单位】：中央财经大学金融学院;上海证券交易所发展研究中心;南京大学工程管理学院;
【基金】：中国博士后科学基金(20110490127)资助
【分类号】：F832.51

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