赎回权的价值与封闭式基金折价率研究——兼论“封转开”方案设计

Value of Callable Rights and Closed-end Fund Discount

本文比较了封闭式基金与对等的开放式基金之间的差异,认为缺少赎回权是封闭式基金产生折价的主要原因。在一个具有完全择时能力的封闭式基金投资者的假设条件下,本文推导并证实了赎回权价值上限和隐含折价率下限计算公式。基于赎回权,本文提出了“封转开”方案设计的一个新思路,希望对市场上正在热烈讨论的“封转开”问题有所启示。

Comparing the differences between closed-end and open-end funds, this paper proposes that the absence of callable rights is the main reason for closed-end fund discounts. Assuming that an investor has perfect market timing ability, we derive the upper bound of the value of callable right and the lower bound of implied discounts. Empirical results from listed funds in the China stock market confirm the above conjecture. Based on the results, the author promotes a new way of designing in transforming closed-end funds into open-end fund, which is expected to shed lights on the hot debate over fund transformation in China