论文部分内容阅读
我国封闭式基金平均33%的折价水平已显著高于国际惯例(10%),这为我们进行封闭式基金的长期套利提供了有利机会封闭式基金的长期折价是国际上普遍存在的现象,一般认为这是对基金代理问题、流动性问题和信息浑浊问题所要求的补偿,但我国封闭式基金平均33%的折价水平已显著高于国际惯例(10%),即使考虑了泡沫性折价因素,部分到期日较晚的基金仍被低估。这一方面与熊市中的价值底线模糊相关,另一方面也与我国投资者对基金寿命的理解误区有关,但正是这种理念混乱与理解误区为我们进行封闭式基金的长期套利提供了有利机会。根据我们的测算,这一套利收益可高达10%以上。
The average discount rate of 33% of closed-end funds in China has been significantly higher than that of international practice (10%), which provides favorable opportunities for our long-term arbitrage of closed-end funds. The long-term discount of closed-end funds is an internationally prevalent phenomenon. Generally, Considering that this is the compensation required for the issue of fund agency, liquidity and information turbidity, the average discount rate of 33% of China’s closed-end funds has been significantly higher than that of international practice (10%). Even considering the bubble discount factor, Some funds with late maturities are still undervalued. On the one hand, the bottom line of the bear market is ambiguous, on the other hand, it is also related to the misunderstanding of the fund’s life by Chinese investors, but it is this confusion and misunderstanding of the concept that provides favorable conditions for our long-term arbitrage of closed-end funds opportunity. According to our estimates, this arbitrage yield can be as high as 10% or more.