The Factors Of Premium And Discount Rate In Structured Fund

The discount rate or premium rate of the classified fund will appear when the NAV does not equal the price of the fund share.And the A share of the fund usually has a discount rate and the B share of the fund usually has a premium rate, and this phenomenon can not explained perfectly by the traditional finance.Then this paper tries to explain this phenomenon from both the barrier option and the behavioral finance. Based on Monte Carlo method, we try to give the fundamental value of B share of classified fund. And then we try to investigate the factors that affect the premium rate of B share of classified fund.The factors are based on the empirical analysis using daily data.andinconsiderationof the autocorrelation of variables, we add the first lag of thedependable variable to the regression equation.The empirical results show that many factors that indicate the sentiment of the individual can explain the B share of classified fund premium rate.The factors include the first lag of B share of classified fund premium rate, the return rate of the hushen 300, the volatility rate of the hushen 300,the shibor and the volume of the B share.It indicates thatthe investors who hold the classified fund are not rational when they trade in the capital market.Their trading strategy will be affected by their own assumptions and then they can not get an objective analysis of the capital market.