封闭式基金转开放的套利机制研究

Research on the Arbitrage Merchandise of Closed-end Funds under Maturing

本文运用实证研究方法,通过对基金契约到期时间与基金折价率关系的考察,发现在基金陆续到期情况下,到期时间对折价率的影响越来越大,从而推导出购买到期日近的基金组合不仅可以获得超额收益率,而且较到期日远的基金回报更高。但是在该套利机制下,投资者也面临着基金市场的流动性问题以及基金管理人的不作为风险。

The paper studies the closed-end funds＇ arbitrage merchandise when the closed-end funds becoming open-ended. Through research on the relationship between the discount rate and the date of maturing, the authors find that the maturing date had more and more influence on the discount rate, and conclude that investing the maturing funds could get abnormal return. Under this arbitrage system, the investors have to face the problem of liquating and the moral risk of the fund manager.