免费的午餐:分级基金溢价的案例研究

Free Lunch:The Case of the Premium of Listed Spilt-capital Funds

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。

This paper reviews the development of the split-capital funds and classifies them according to their terms and conditions. From their market performance, the authors find that the risk-free arbitrage opportunity does exist in the index split-capital funds with the split/merge function after trading cost deducted. Further research shows that the premium comes from B shares. The more easily the index can be shorted, the larger the premiums are. Thus, the premium cannot be attributed to the lack of hedge strategy. On the contrary, the index split- capital funds B shares provide the market with a kind of new option-like products. Due to the incompleteness of the market, the B shares are therefore priced with a premium. Also, the authors find that the time-variation of the premium is related with the market sentiment index and trading volume, while irrelevant with the underlvinu unit-share oerforrnnneo