封闭式证券投资基金的定价探讨与应用

封闭式证券投资基金由于其在存续期内不能赎回,因此造成市场价格的确定和开放式基金有很大不同,其市场交易价格往往是围绕基金净值溢价或折价交易的。本文通过分析封闭式基金的定价特点,推导出内在价值确定的基本理论方法,并选择基金景宏作为定价对象对其现阶段的内在价值进行测算。     

封闭式证券投资基金的定价探讨与应用

封闭式证券投资基金由于在存续期内不能赎回,因此造成市场价格的确定和开放式基金有很大不同,其市场交易价格往往是围绕基金净值溢价或折价交易的.本文通过分析封闭式基金的定价特点.推导出内在价值确定的基本理论方法.并选择基金景宏作为定价对象对其现阶段的内在价值进行测算.     

封闭式基金折价问题分析

封闭式基金折价之谜在封闭式基金的交易过程中,交易价格高于或低于其净资产价值的现象被称为封闭式基金的溢价或折价交易。在现实交易中折价是经常性的。这在现代金融理论框架下是难于理解的。所以,人们常称其为封闭式基金折价之谜。在对这类与有效市场假说相悖的市场异象的大量研究中,人们对这一现象中的谜点进行了总结,认为封闭式基金折价有许多     

基于期权分解的分级基金定价研究

分析分级基金的设计和定价方法对于发行机构、投资机构和个人都非常重要,本文选取了已上市交易的、首募金额最高、收益特征明确的长盛同庆分级基金,从期权分解的角度来分析其理论价格,以及二级市场的定价特征.研究发现,同庆A的债券特性占主导;同庆B的市场价格与其净值的偏离度大过其与理论价值和内在价值的偏离程度.     

封闭式基金净值与价格的因果性和协整分析

研究表明．绝大多数封闭式基金净值与价格之问不存在协整关系。这说明基金的折价率不足均值回归的．所以认为基金价格必然向其内在价值回归是不正确的．试图要从封闭式基金的折价率中套利的行为未必可取。     

封闭式基金初露锋芒

作为严重低估的品种，封闭式基金的投资价值已经逐步被市场认同。加上其未来净值增长潜力的良好预期，封闭式基金将走出相对独立的攀升行情，预计在2008年前后封闭式基金折价状态将恢复到合理区域。     

封闭式基金的投资价值

作为基金市场的主导，开放式基金集万千宠爱于一身，深受普通投资者热捧。而封闭式基金，却更像是一个遗失的角落。近年来，随着封闭式基金封转开的陆续实施，封闭式基金的不确定因素逐渐消失，加上其独有的折价贴水优势，以及渐行渐近的股指期货和融资融券业务，其圾具安全边际的价值洼地日益凸显。     

封闭式基金价格,净值与股指的协整与引导关系实证分析

一、引言作为股市中的一个主要的金融工具,封闭式基金经过了二十多年的发展。目前,深沪两市上市交易的封闭式基金共有54只,其中沪市25只,深市29只,总规模为817亿元。当前,我国封闭式基金交易中的一个突出的问题是折价交易程度相当严重。虽然,大量的实证研究表明,封闭式基金折价交易在世界范围内均具有普遍性,但其折价程度在不同的国家之间存在着一定的差异。西方发达资本市场中也普遍存在封闭式基金折价现象。相关统计数据显示,美国封闭式基金平均折价率为10%,而在英国,这一数字大约为5%。封闭式基金的买卖是通过公开市场进行的,其运作与股票交易相类似,因此单位基金券的交易价格在一定程度上由市场供求状况所决定,并不一定完全反映基金的净资产价值,基金成交价格就有可能高于或低于基金净资产价值,即出现溢价(premium,又称升水)或折价(discount,又称贴水)。二、相关文献综述早期国内外学者对封闭式基金的研究大多是建立在理论框架下,立足与有效市场理论进行的。研究认为市场摩擦或基金自身一些独特风险因素,导致了基金价格暂时甚至长期偏离基金净值,并提出了包括净资产偏差假说,市场摩擦成本假说,等相关理论。随着行为金融理论的产生和发展,...     

非理性因素对封闭式基金折价之谜的解释

一、封闭式基金折价之谜 近四十年来,封闭式基金折价运行现象一直是金融界的一个难解之谜.所谓封闭式基金折价,指单位基金的市场交易价格低于其净值;溢价,指单位基金的市场交易价格高于其净值.     

封基:折价率回升,投资价值显现

9月份封闭式基金的净值增长达到4.91%,而同期其二级市场交易价格还下跌了3.02%,这样一涨一跌绝然相反的表现,使得封闭式基金的整体折价水平较8月末25%的水平再次出现较大幅度的回升,在市场高位震荡的情况下,投资价值进一步显现。     

基于损失分布的产险公司保险保障基金构成机制研究

保险保障基金制度是为了确保保单持有人利益和完善保险企业退出机制而建立的特殊制度。保险保障基金的筹集是保险保障基金制度的核心内容，它直接关系到保险保障基金制度的有效运行。本文以产险公司为例，通过拟合损失分布，从保单定价的盈亏平衡原理和产险公司实际偿付能力出发，给出了产险公司破产时，保险保障基金的期望损失计算公式，并提出相关参数的估计方法，对建立保险保障基金的风险缴纳比例机制有一定的借鉴意义。     

我国债券市场价格波动的均衡与因果分析

债券价格的决定理论主要有古典利率理论、流动偏好理论、可贷资金理论和理性预期理论。本文采用协整和因果检验方法，研究宏观经济变量、货币金融变量与我国债券市场价格波动的联动和因果关系。我国债券市场价格与固定资产投资、净出口，物价指数、货币供应量、金融机构存贷款和外汇储备存在长期均衡关系。居民储蓄和净出口对我国债券市场价格走势具有单向引导关系，我国债券市场价格对固定资产投资和金融机构存款具有显著影响。     

Road Taxes,Road User Charges and Earmarking

The UK Road Fund was set up in 1921 and financed by earmarked taxes, but was unsuccessful as a form of road finance and abandoned in 1937. The paper examines why earmarking failed and what problems arise for replacing road taxes by hypothecated road charges. These charges would need to be regulated and could evolve into a more efficient system of road pricing. The paper claims that recent experiences with regulating capital-intensive network industries make road user charging and the commercialisation of the public highway both feasible and desirable, but that recent government proposals for local earmarked taxes are inadequate.     

美国保险公司破产研究及对我国的启示

保险公司的破产会给保单持有人、股东以及保险保障基金等造成很大的损失。鉴于国内相关案例和数据的缺乏,本文主要参考美国的文献和数据,分析了1978年～2009年美国保险公司破产案例,研究发现虽然保险公司破产的触发事件主要是损失准备金不足、非充分定价、公司业务的快速增长、子公司破产和投资失败等,但导致保险公司破产的根本原因却...     

Trading strategies based on term structure model residuals

The term structure of interest rates is an important input for basically every pricing model and is mostly calibrated on coupon bond prices. Therefore, the estimated interest rates should accurately explain the market prices of these bonds. However, nearly all empirical papers on interest rate estimation, e.g. Svensson, L.E.O. 1994. Estimating and interpreting forward interest rates: Sweden 1992–1994, IMF Working Paper, International Monetary Fund, report significant pricing errors in their sample. So an important question is what drives these pricing errors of the bonds. One simple explanation would be different tax treatment or different liquidity, but most papers on this research topic, e.g. Elton, E., and T.C. Green. 1998. Tax and liquidity effects in pricing government bonds. Journal of Finance 53: 1533–62, cannot fully explain the observed pricing errors. Therefore, these errors must be at least partially caused by either model misspecification or by the deviation of particular bond prices from general market conditions, i.e. mispricing revealing insufficient market efficiency. We provide empirical evidence for the German government bond market that risk-adjusted trading strategies based on bond pricing errors can yield about 15 basis points p.a. abnormal return compared to benchmark portfolios. Furthermore, the abnormal returns are continuously achieved over the whole time period and not randomly on a few days and show a relation to changes in the level and the curvature of the term structure of interest rates. Therefore, pricing errors contain economic information about deviations of bond prices from general market conditions and are not exclusively caused by model misspecification and/or differences in liquidity and tax treatment of individual bonds.     

A Study of Volatility and Externality Compensative Return of Internet Financial Products in the Case of Yuebao

We use the data of 10 thousand accrual of Zenglibao monetary fund of Celestica Fund and two indicators of the monetary fund market, WIND index of monetary fund and CSI money fund index, to analyze the volatility and compensative rate of return of Yuebao. Based on the time-variant capital asset pricing model (CAPM), we quantitatively show that the volatility of return of Yuebao is less than that of the market, and the correlation between the Yuebao and the market is relatively low. These two conditions make the beta coefficient lower than that in traditional financial products. In this article, we define the gap between return of Yuebao and the estimated return by CAPM as the externality compensative rate of return, which is the main explanation of the high-return property of Yuebao.     

Empirical Risk Analysis of Pension Insurance: The Case of Germany

The book reserve system is the most widespread method of financing occupational pension plans in Germany. The pension liabilities are mutually insured by the Pensions-Sicherungs-Verein VVaG (PSVaG) against bankruptcy. The PSVaG recently stated that the insurance system needed to be reformed. In the future, risk-adjusted premiums as foreseen for the newly established Pension Protection Fund in the United Kingdom could become feasible. We perform a credit portfolio analysis to determine the risk profile of the PSVaG. The magnitude of a tail risk event suggests that under the current financing system it can only be smoothed out over decades. Under an expected loss pricing plan insurance premiums would vary greatly. In a marginal risk contribution approach the variation of the premiums would be less pronounced.     

Pricing options on mean reverting underliers

For mean reverting base probabilities, option pricing models are developed, using an explicit measure change induced by the selection of a terminal time and a terminal random variable. The models employed are the square root process and an OU equation driven by centred variance gamma shocks. VIX options are calibrated using the square root process. The OU equation driven by centred variance gamma shocks is applied in pricing options on the ratio of the stock price for J. P. Morgan Chase (JPM) to the Exchange Traded Fund for the financial sector with ticker XLF. For the purposes of calibrating the ratio option pricing model to market data, we indirectly infer the prices for stock options on JPM from the prices for options on the ratio, by hedging the conditional value of JPM options given XLF, using options on XLF. The implied volatilities for the options on the ratio are then indirectly observed to be fairly flat. This suggests that for JPM, the use XLF as a benchmark is a possibly good choice. It is shown to perform better than the use of the S&P 500 index. Furthermore, though the use of an unrelated stock price like Johnson and Johnson as a benchmark for JPM provides as a good fit as does the use of XLF, this comes at the cost of requiring a considerable smile for the implied volatilities on the ratio options and hence a more complex model for the implied distribution on the ratio.     

Financial Product Design,Retail Investor Sophistication and Issuer Incentives: A Case Study

Many financial products and securities marketed to retail investors involve design features that can make it difficult to understand the risk and return characteristics involved. This paper examines one such security, Convertible Preference Step Up Units (CPUs), issued in Australia by the US Masters Residential Property Fund (URF) at the end of 2017. It argues that an apparently relatively simple design masks significant complexity which would make risk assessment and fair pricing well beyond the capabilities of retail investors. Despite that, analysis of the security design and disclosure documents suggests that it would not fall foul of the financial product banning powers recommended for the Australian Securities and Investment Commission by the 2014 Australian Financial System Inquiry and in draft legislation as at mid 2018. This highlights the difficulties for effective financial consumer protection resulting from the mismatch between financial literacy levels and financial product design.     

The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance

Abstract

In this study the Taiwan Insurance Guaranty Fund (TIGF) is introduced to investigate the ex ante assessment insurance guaranty scheme. We study the bankruptcy cost when a financially troubled life insurer is taken over by TIGF. The pricing formula of the fair premium of TIGF incorporating the regulatory forbearance is derived. The embedded Parisian option due to regulatory forbearance on fair premiums is investigated. The numerical results show that leverage ratio, asset volatility, grace period, and intervention criterion influence the default costs. Asset volatility has a significant effect on the default option, while leverage ratio is shown to aggravate the negative influence from the volatility of risky asset. Furthermore, the numerical analysis concludes that the premium for the insurance guaranty fund is risk sensitive and that a risk-based premium scheme could be implemented, hence, to ease the moral hazard.