利用国债期货的共同基金的公允价值调整定价

IF 1.3 Q3 ECONOMICS

Journal of International Commerce Economics and Policy Pub Date : 2018-08-15 DOI:10.1142/S1793993318500060

Jie Q. Guo

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引用次数: 0

摘要

美国1940年的《投资公司法》要求共同基金董事会确定其投资组合的公允价值。共同基金投资于外国证券，当市场在国外和国内市场之间变化时，可能会出现市场时机问题。然而，迄今为止，有关外国固定收益证券的公允价值定价程序的研究很少。本文讨论了市场时机问题，并提出了一种利用国债期货对外国固定收益证券进行公允价值定价的统计方法。与提高交易费用或设定共同基金的最低持有期相比，及时调整外国固定收益证券的估值是防范套利者的最佳方法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Fair Value Adjusted Pricing of Mutual Funds Using Treasury Futures

The U.S. Investment Company Act of 1940 requires mutual fund boards to determine fair value of their portfolios. With mutual fund investments on foreign securities, there is a potential market timing issue when markets evolve between foreign and domestic market close. However, there is little research to date relating to fair value pricing procedures for foreign fixed-income securities. In this paper, we discuss the market timing problems and present a statistical approach utilizing treasury futures to fair value pricing of foreign fixed income securities. Timely valuation adjustment of foreign fixed income securities is the best approach to fend off arbitrageurs than raising transaction fees or setting minimum holding period for mutual funds.

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来源期刊

Journal of International Commerce Economics and Policy ECONOMICS-

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： Journal of International Commerce, Economics and Policy (JICEP) is a peer-reviewed journal that seeks to publish high-quality research papers that explore important dimensions of the global economic system (including trade, finance, investment and labor flows). JICEP is particularly interested in potentially influential research that is analytical or empirical but with heavy emphasis on international dimensions of economics, business and related public policy. Papers must aim to be thought-provoking and combine rigor with readability so as to be of interest to both researchers as well as policymakers. JICEP is not region-specific and especially welcomes research exploring the growing economic interdependence between countries and regions.