Research On The Effect Of Irregular Conversion On The Graded Fund Yield

Graded funds is a special kind of securities investment funds.The company divide the fund of funds into two different share with different feature of benefits and risks by income distribution.,and its separable trade,asset can be share merger operation,can be convert,share matching conversion,lever mechanism,and many other advantages,make it popular with.Leverage mechanism is an important feature of the classification fund,and the conversion mechanism is an important means of controlling leverage.Irregular conversion makes investors suffered heavy losses,but they know it less.The reason is that graded fund is still a new thing,the academic research on the classification of funds is still less and concentrate on the arbitrage and pricing efficiency.Therefor e,people lack of scientific and reasonable coping strategies.The paper is research on graded fund irregular convert mechanism,in order to make a useful guide to investment grade fund.In this paper,based on the theory of grading fund,we focus on the research of the graded fund conversion mechanism,and use the event study method and market adjustment model to test the effect of irregular conversion on the graded fund yield.The study found that irregular conversion has significant influence on the graded fund yield,A and B share is different under different types of regular conversion,in the window period grade A share upward conversion and grade B share downward conversion showed significant negative cumulative abnormal returns,grade A share downward conversion showed a cumulative positive abnormal returns.Graded A share discount is shown positive cumulative abnormal returns.1 to 2 days before the arrival of the conversion,the fund began to show significant abnormal returns,graded fund yield rise or fall increases,which indicates that the investors make early response by the expectation they have.On the first day after conversion,the graded fund will show the opposite behavior to the conversion date,positive and negative earnings,because after the conversion the lever and discount or premium rate of graded fund have the demand to recover the original level.