不定期折算对分级基金收益率的影响研究

发布时间：2018-01-03 08:43

本文关键词：不定期折算对分级基金收益率的影响研究　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：分级基金是一类特殊的证券投资基金,基金公司通过将基金收益分配,形成收益与风险不同的两类份额,其份额分级、可分离交易、资产可合并运作、交易所上市、份额配对转换、杠杆机制等诸多优点,深受投资者喜爱。杠杆机制是分级基金的一个重要特质,而折算机制则是控制杠杆的重要手段。不定期折算的发生使投资者损失惨重,人们却对不定期折算的内在机理所知甚少,这是因为分级基金尚属新生事物,学术界对于分级基金的研究还比较少而且集中在分级基金套利和定价效率上,各大券商的研究报告普通投资者又无法取得,因此面对不定期折算人们缺乏科学合理的应对策略,因此本文针对分级基金不定期折算机制进行深入研究,探究分级基金A、B份额不定期折算前后收益率规律,以期对投资者投资分级基金做出有益的指导。本文以分级基金相关理论为基础,重点研究分级基金折算机制,采用事件研究法和市场调整模型实证检验不定期折算对分级基金收益率的影响。研究发现不定期折算对分级基金收益率具有显著的影响作用,A、B份额在面临不同类型的不定期折算有不同表现,窗口期内分级A份额上折和分级B份额下折表现出显著的负累计异收益,分级A份额下折则表现出正的累计异常收益。折算到来之前1至2天,分级基金开始表现出明显的异常收益,分级基金上涨或下跌的速度增加,这表明不定期折算的预期已经形成,投资者对不定期折算的发生提前做出了反应。分级基金在不定期折算时收益率波动的主要原因是折算日杠杆和折溢价率的变化,价格高于净值的部分会化为亏损,净值高于价格会化为收益兑现。折算后首日,分级基金会表现出与折算日正负相反的收益,是因为折算后恢复的初始杠杆和折溢价率有恢复到原来水平的要求,表现在价格上则反映为反弹或者回撤。
[Abstract]:The classification of the fund is a kind of securities investment fund special fund, the company through the fund income distribution, the formation of two types of share benefits and risks of different, its share of classification, can separate transactions, asset merger operation, exchange, share pair conversion, lever mechanism, and many other advantages, well received by investors is a lever mechanism. An important trait classification fund, while the conversion mechanism is an important means to control the lever. Occur from time to time conversion so that investors suffered heavy losses, there is the occasional translation inherent mechanism is poorly understood, this is because the classification of the fund is still a new thing, the academic research for the classification of the fund is relatively small and concentrated in grading fund arbitrage and pricing efficiency, study the major firms in the ordinary investors can not be achieved, therefore face the occasional translation people lack the scientific and rational strategies, therefore This paper focuses on the classification of the fund is not regular conversion mechanism, explore the classification of the fund A, laws of the rate of return of B before and after share the occasional translation, in order to make a useful guide to investment grade fund. The fund classification theory, research on the mechanism of grading fund conversion key effect using the method of event study and market adjustment model an empirical test of the occasional translation on the classification of the fund yields. The study found that non regular conversion has significant effects on the classification of the fund yields A, B shares have a different performance under different types of occasional translation, the window period grade A share discount and grade B share discount showed significant negative cumulative different income, grade A share discount showed a positive cumulative abnormal return. The conversion before the arrival of 1 to 2 days, the classification of the fund began to show significant abnormal returns, based on the classification of gold Up or down the speed increase, which indicates that the tramp reduced expectations have been formed on the occurrence of investors tramp reduced early response. The main reason is not in grading fund income volatility is reduced when the regular changes on the lever and the conversion rate of premium, high prices on the net will be part of the loss. The price will be higher than the net cash income. After the conversion on the first day, grading fund will show opposite conversion date positive and negative earnings, because the conversion after the restoration of the initial leverage and premium discount rate has returned to the original level requirements, reflected in the price reflects the rebound or withdrawal.

【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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