| In order to restrain the asset price bubble and ensure the smooth operation of the financial market,in recent years,the relevant state departments have announced a series of supporting policies to control the leverage level of asset management products.Graded fund as a hierarchical leverage product,that is,the fund carries on the structured share classification,after dividing part of the fund market share into priority share and inferior share,the priority share assets are financed to the inferior share operation products,which is about to withdraw from the market.With the approach of the deadline for regulating graded funds,what is different from the way many graded funds withdraw from the market through transformation or liquidation is that the index graded securities investment fund of Wells Fargo Securities Bank of China has been rectified into the index securities investment fund of Wells Fargo Securities Bank by canceling classification,which provides a new way for graded funds to withdraw from the market.In the process of following and observing the rectification and reform of the index-graded securities investment fund of Wells Fargo Securities Bank,it was found that during the period from the announcement of the cancellation of classification to the date of termination of the listing of the sub-fund,the basic share of the fund not only continued to be redeemed more than applied for and the net redemption scale was large,but also appeared the abnormal phenomenon that the basic share fluctuated with the net value of the basic share,which was manifested in the increase of the net value of the basic share.However,the net redemption scale of the basic share increased,while the net redemption scale of the basic share decreased when the net value of the basic share decreased,so did the netredemption scale of the basic share.The emergence of this phenomenon not only greatly increases the pressure on the current assets of the index-graded securities investment funds of Wells Fargo Securities Bank,but also causes a sharp increase in the short-term net redemption of the shares after the conversion of the fund,which has a negative impact on the operation of the assets of the fund.Therefore,to study why there is a redemption anomaly when the index-graded securities investment fund of Wells Fargo Securities Bank adopts the cancellation and classification scheme,and if other graded funds withdraw from the market by cancellation and classification,whether there will also be redemption anomalies and how to prevent redemption anomalies have become a realistic problem that urgently needs to be solved during the curtain call of graded funds.Taking the index-graded securities investment fund of Wells Fargo Securities Bank as a case study,this paper examines before and after the cancellation of hierarchical operation from the noise trading theory,limited arbitrage theory and expectation theory in behavioral finance theory.the change of sub-fund discount premium and overall discount premium,the change of pairing conversion share,and the performance of redemption anomaly of Wells Fargo Securities Bank Index graded Securities Investment Fund.This paper successively analyzes the reasons for the continuous overall discount,the size of arbitrage opportunities and the redemption behavior of investors in the index-graded securities investment fund of Wells Fargo.This paper constructs a theoretical analysis framework to study investor sentiment,limited arbitrage and investor redemption behavior from the perspective of noise trading,limited arbitrage and expectation theory.This study found that the continuous occurrence of the overall discount between the graded fund base share and the sub-fund share makes the arbitrage opportunity prominent is the direct cause of the redemption anomaly during the redemption period.The graded fund adopts the cancellation grading scheme without holding a meeting of shareholders to carry out rectification and reform,which will greatly reduce the investment sentiment of investors in the sub-fund,resulting in a continuous overall discount between the basic share and the sub-fund share.Therefore,when the graded fund adopts the cancellation and grading scheme for rectification and reform,if there is no effective means to improve investor sentiment,there will also be a redemption anomaly.In addition,investors' arbitrage behavior does not completely erase the overall discount because the market is incomplete,and investors' arbitrage behavior is limited arbitrage behavior.This paper innovatively stands on the single fund of index graded securities investment fund of Wells Fargo Securities Bank,studies the redemption anomaly during the period of cancellation and classification,and analyzes the time series data of the parameters of the graded fund during the period of cancellation and classification.it is concluded that whether the graded fund which withdraws from the market by using the cancellation and grading scheme can mobilize investors' sentiment towards the sub-fund through effective means is the key to avoid the redemption anomaly. |
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