中国股票型开放式基金流动性价值研究
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摘要
股票型开放式基金的流动性在本文中主要是指股票型开放式基金持有的银行存款、结算备付金和存出保证金等，有点类似于公司所持有的现金及其等价物。开放式基金流动性除了账面价值外，还蕴含有某种潜在价值。对这种潜在价值进行评估，对于开放式基金的流动性管理具有重要意义。
开放式基金根据制度要求，要持有不低于资产净值5%的现金或国债以应对投资者的赎回。但股票型开放式基金大都持有13%左右的现金及其等价物，也就是说，大多数基金是持有超额流动性的，流动性的收益一般低于股票或债券，那么开放式基金为什么持有过量的流动性呢？超额流动性不仅仅是账面上的价值，还具有隐含的期权价值。因为持有超额流动性给予了开放式基金在投资机会到来时，及时抓住投资机会而提高盈利的选择权。如果股票型开放式基金没有超额流动性，则当投资机会到来时，基金难以及时抓住投资机会，甚至有可能错过投资机会。超额流动性赋予开放式基金的这种未来选择权是有价值的，这是一种期权价值。
既然开放式基金持有的超额流动性是用于抓住未来投资机会的，那么，什么是基金的投资机会呢，结合巴菲特和格雷厄姆关于投资机会的观点，提出投资机会就是能使基金获得超过交易成本和流动性持有成本的收益的投资机会，由这些投资机会构成的集合就是投资机会集，结合企业对投资机会价值的评估方法，评估了开放式基金流动性的投资机会集的价值。开放式基金持有的超额流动性就是要在流动性和投资机会集之间互换以增加基金的收益，这一点类似于一种新型期权——交换期权，借鉴交换期权的定价原理评估了开放式基金超额流动性的价值。这种价值随市场行情的不同而不同，行情好时价值高，行情差时价值低。
研究流动性价值的目的是为基金管理者提供一些管理建议或管理工具。开放式基金的流动性管理非常重要，因为开放式基金不仅要应对一般企业所面临的流动性管理问题，还要处理一类特殊问题——投资者的申购赎回对流动性的冲击问题，这使得开放式基金要确定适当的流动性持有量更加困难。但量与价有着相互影响的关系，如果知道了流动性的价值，确定流动性的量就会变得容易些，正是基于上述考虑，本文分析开放式基金的流动性的特点和流动性的价值，并在此基础上，分析了流动性价值的影响因素。
The liquidity of equity open-end fund in this article mainly refers to bank deposits,settlement provisions, and refundable deposits held by the equity open-endfunds,Somewhat similar to the Company held cash and its equivalents.Open-end fundliquidity in addition to has the book value, it also contains a potential value.Assess thepotential value of this great significance for the open-end fund liquidity management.
Open-end fund is required by the system to hold not less than5%of the net asset valueof the cash or government bonds in response to investor redemptions.But,equity open-end fund is mostly held about13%of cash and its equivalents,in otherwords,most of the fund is holding excess liquidity,Liquidity generally earns lower thanstocks or bonds,then, why open-end fund to hold excess liquidity?Excess liquidity is notonly carrying the book value,but also the implied option value.Holding excess liquidity given the open-end funds the option to seize the investmentopportunities in timely and improve the profitability when the investment opportunityarrives.If the equity open-end fund does not have excess liquidity, when the investmentopportunities arriving, the fund is difficult to seize the investment opportunities in time,even may miss the investment opportunities.Excess liquidity given the open-end fund thisoption is valuable, this is an option value.
Since excess liquidity held by the open-end fund is used to seize the investmentopportunities, then, what is the Fund's investment opportunities.With Warren Buffett andGraham views on investment opportunities, investment opportunities is to make the fundholds the cost income over transaction costs and liquidity of investment opportunities,bythe collection of these investment opportunities is an investment opportunity set,combinedwith the method of assessment of the value of the investment opportunities,we assessedthe value of the investment opportunity set of open-end fund liquidity.Open-end fundsheld by the excess liquidity is to swap between liquidity and investment opportunities setto increase the income of the fund.This is similar to a new option-exchange option.Learn from the exchange option pricing theory to assess the value of the excess liquidity ofopen-end fund,this value with the market's different, different, good market high-value,low value when the price difference.
The purpose of the mobility value is to provide some suggestions or managementtools for fund managers,open-end fund's liquidity management is very important,open-end fund is not only to deal with liquidity management issues faced by the generalcorporate,have to deal with a class of special problems-the investors' subscription andredemption of the impact on liquidity,this makes the open-end fund to be more difficult todetermine the appropriate liquidity holdings.Volume and Price has a relationship of mutualinfluence,if you know the value of mobility,determine the amount of liquidity will becomeeasier.It is based on the above considerations, this paper analyzes the value of open-endfund liquidity characteristics and liquidity,On this basis,we estimate the mobility of thevalue of influencing factors.
开放式基金根据制度要求，要持有不低于资产净值5%的现金或国债以应对投资者的赎回。但股票型开放式基金大都持有13%左右的现金及其等价物，也就是说，大多数基金是持有超额流动性的，流动性的收益一般低于股票或债券，那么开放式基金为什么持有过量的流动性呢？超额流动性不仅仅是账面上的价值，还具有隐含的期权价值。因为持有超额流动性给予了开放式基金在投资机会到来时，及时抓住投资机会而提高盈利的选择权。如果股票型开放式基金没有超额流动性，则当投资机会到来时，基金难以及时抓住投资机会，甚至有可能错过投资机会。超额流动性赋予开放式基金的这种未来选择权是有价值的，这是一种期权价值。
既然开放式基金持有的超额流动性是用于抓住未来投资机会的，那么，什么是基金的投资机会呢，结合巴菲特和格雷厄姆关于投资机会的观点，提出投资机会就是能使基金获得超过交易成本和流动性持有成本的收益的投资机会，由这些投资机会构成的集合就是投资机会集，结合企业对投资机会价值的评估方法，评估了开放式基金流动性的投资机会集的价值。开放式基金持有的超额流动性就是要在流动性和投资机会集之间互换以增加基金的收益，这一点类似于一种新型期权——交换期权，借鉴交换期权的定价原理评估了开放式基金超额流动性的价值。这种价值随市场行情的不同而不同，行情好时价值高，行情差时价值低。
研究流动性价值的目的是为基金管理者提供一些管理建议或管理工具。开放式基金的流动性管理非常重要，因为开放式基金不仅要应对一般企业所面临的流动性管理问题，还要处理一类特殊问题——投资者的申购赎回对流动性的冲击问题，这使得开放式基金要确定适当的流动性持有量更加困难。但量与价有着相互影响的关系，如果知道了流动性的价值，确定流动性的量就会变得容易些，正是基于上述考虑，本文分析开放式基金的流动性的特点和流动性的价值，并在此基础上，分析了流动性价值的影响因素。
The liquidity of equity open-end fund in this article mainly refers to bank deposits,settlement provisions, and refundable deposits held by the equity open-endfunds,Somewhat similar to the Company held cash and its equivalents.Open-end fundliquidity in addition to has the book value, it also contains a potential value.Assess thepotential value of this great significance for the open-end fund liquidity management.
Open-end fund is required by the system to hold not less than5%of the net asset valueof the cash or government bonds in response to investor redemptions.But,equity open-end fund is mostly held about13%of cash and its equivalents,in otherwords,most of the fund is holding excess liquidity,Liquidity generally earns lower thanstocks or bonds,then, why open-end fund to hold excess liquidity?Excess liquidity is notonly carrying the book value,but also the implied option value.Holding excess liquidity given the open-end funds the option to seize the investmentopportunities in timely and improve the profitability when the investment opportunityarrives.If the equity open-end fund does not have excess liquidity, when the investmentopportunities arriving, the fund is difficult to seize the investment opportunities in time,even may miss the investment opportunities.Excess liquidity given the open-end fund thisoption is valuable, this is an option value.
Since excess liquidity held by the open-end fund is used to seize the investmentopportunities, then, what is the Fund's investment opportunities.With Warren Buffett andGraham views on investment opportunities, investment opportunities is to make the fundholds the cost income over transaction costs and liquidity of investment opportunities,bythe collection of these investment opportunities is an investment opportunity set,combinedwith the method of assessment of the value of the investment opportunities,we assessedthe value of the investment opportunity set of open-end fund liquidity.Open-end fundsheld by the excess liquidity is to swap between liquidity and investment opportunities setto increase the income of the fund.This is similar to a new option-exchange option.Learn from the exchange option pricing theory to assess the value of the excess liquidity ofopen-end fund,this value with the market's different, different, good market high-value,low value when the price difference.
The purpose of the mobility value is to provide some suggestions or managementtools for fund managers,open-end fund's liquidity management is very important,open-end fund is not only to deal with liquidity management issues faced by the generalcorporate,have to deal with a class of special problems-the investors' subscription andredemption of the impact on liquidity,this makes the open-end fund to be more difficult todetermine the appropriate liquidity holdings.Volume and Price has a relationship of mutualinfluence,if you know the value of mobility,determine the amount of liquidity will becomeeasier.It is based on the above considerations, this paper analyzes the value of open-endfund liquidity characteristics and liquidity,On this basis,we estimate the mobility of thevalue of influencing factors.
引文
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