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本文通过对长盛同庆封闭基金和其转型后的长盛同庆中证800指数基金进行实证研究,对分级基金定价参数波动率的选取问题、影响投资者风险的因素进行讨论,发现隐含波动率不适用于对主动投资型分级基金进行定价,投资者面临的风险很大程度上受到市场预期收益率的影响;观察到分级基金市场价格表现的一个特征,即次级份额高低估变化趋势与基金单位净值变动趋势相反,并利用行为金融学的理论对其加以解释。
In this paper, through empirical research on the Changsheng Celebration Fund and its transformation of Changsheng’s CSI 800 Index Fund, this paper discusses the selection of the volatility of the classification fund pricing parameters and the factors that affect the risk of investors, and finds that the implied volatility is not applicable In the active investment-based classification of funds, the risk investors face is largely affected by the expected rate of return on the market; observed the characteristics of the classification of the market price of funds, that is, the sub-share of the high and low valuation trends and the net unit of fund The trend is the opposite, and it is explained using the theory of behavioral finance.