摘要
分级基金B份额的名义融资成本是约定收益率、管理费率和托管费率之和,是一个静态变量。由于分级基金的杠杆以及上折、下折等因素影响,分级基金B份额的实际融资成本是其为获得杠杆而向稳健份额支付的利息。鉴于折溢价的原因,单位融资成本可反映分级基金的真实融资成本,基于价格测算更能体现投资者真实负担。从多角度测算我国当前股票型分级基金融资成本的结果为,基于资产的融资成本平均值为4.176%,基于资本的融资成本平均值为9.18%,名义融资成本平均值为7.108%。平均看,基于资本的融资成本>名义融资成本>实际资金成本>基于资产的融资成本。而单位融资成本平均值为9.409%,相对于名义融资成本明显偏高,这是考虑分级基金杠杆因素的结果。回归估计表明,约定收益率、价格杠杆变量、A份额占比与单位融资成本显著负相关,而母基金折溢价率、隐含收益率、母基金净值、A份额净值与单位融资成本正相关。
The traditional nominal financing cost of structured fund is a static variable, which iscomposed of convention yields, management fees and managed rates and it cannot realistically reflectthe financing cost of structured fund. Because the leverage factors of structured fund and Discountpremium , unit financing cost could reflect real financing cost of structured fund. The results showthat the average value of financing cost on assets ^financing cost on capital^nominal financing costare 4.176% ,9.18% ,7.108%, namely, financing cost on capital 〉 nominal financing cost〉real cost ofcapital〉 financing cost on assets. The average unit cost of financing is 9.409%, which is much higherthan that of nominal financing cost. The regression estimates show that the agreed rate of return,price leverage, A share have significantly negative influence on unit cost of financing of leveragefund. WMe the overall discount /premium rate, the implied yield of A share, the parent fund netvalue, A share net value etx：. are significantly correlate positively with the unit cost of financing ofleverage fund.
出处
《金融理论探索》
2016年第4期16-22,共7页
Exploration of Financial Theory
关键词
分级基金
单位融资成本
价格杠杆
影响因素
structured fund
unit financing cost
price leverage
influencing factors
