我国封闭式基金折价问题研究

【作者】 贾鹏；

【导师】 陈磊；

【作者基本信息】 东北财经大学 ， 金融学， 2005， 硕士

【摘要】 封闭式基金折价是指基金交易价格低于其资产净值的现象,长期以来一直是金融领域内一个十分令人费解的问题,时至今日尚且没有完善的、令人信服的理论能够充分解释之,被称为“封闭式基金折价之谜”。同世界其他证券市场的封闭式基金相比,我国封闭式基金深度折价现象更加明显,已经成为众多学者所关注的热点。 本文简要回顾了我国封闭式基金的发展历史,描述了基金折价的特征,着力从影响我国封闭式基金折价的传统经济因素、投资者情绪和基金市场流动性等几个方面对我国证券市场封闭式基金的深度折价交易现象进行了深入细致的研究,并通过相应的检验模型进行了实证分析,尝试提出了造成我国封闭式基金深度折价交易现象的新的理论解释。同时,对如何进一步推动我国封闭式基金的发展、促进基金的交易价格走上正轨并规范基金管理公司管理运作提出若干建议,进而探讨了我国封闭式基金的未来发展方向。 本文主要得出如下结论: (1)基金市场流动性的缺失是造成目前我国封闭式基金深度折价交易现象的主要原因。 (2)被国外普遍接受的投资者情绪假说并不能很好地解释我国封闭式基金折价问题,这主要是由于我国封闭式基金持有人机构化特征明显,散户投资者的持有份额逐渐减少。 (3)基于基本面的传统因素对我国封闭式基金折价也有一定的解释力,基金持有资产的流动性、市场因素、基金分红因素与基金折价负相关,基金规模、基金价格波动与折价正相关,而基金业绩、代理成本、道德因素与基金折价相关性不大。更多还原

【Abstract】 The discount of closed-end fund means its price of market trade is lower than the net value of assets. It has been a very pondered-over problem in the financial field for a long time, called it "Puzzle of the closed discount fund ". Compared with closed-end fund of other security markets of the world, the phenomenon is more obvious in our country and has already become the focus that numerous scholars have paid close attention to.This paper briefly introduced the history of the closed-end fund in our country, and describing the characteristics of the discount of closed-end fund. Then we discussed the explanations of this phenomenon in China’s stock market with theoretic and empirical study from three aspects: the traditional economic factors, investor sentiment and liquidity. Meanwhile, we get several suggestions about promoting the development of our country’s close-ended fund, making trade price of fund get rational level and Standardizing the management of the fund company. In addition we discuss the future development path of the close-ended fund of our country.In the research of this paper, we get several main conclusions as follow.(l)The liquidity lack of fund market is the main reason that cause the discount of closed-end fund of our country.(2)The investors sentiment hypothesis, which is generally accepted in the western countries, can not be very good explaining the discount of the closed -end fund of our country, mainly because institutional holder of close-ended fund is getting more and more, the individual investor reduces gradually.(3)The traditional factor based on basic side has certain explanation strength to the discount of close-ended fund of our country. Asset liquidity of fund, market factors, bonus factor are relevant to discount of closed-end , and fund scale , the volatility of fund price are not correlated with the discount of the fund, but fundachievement, fund cost, and morals factor don’t contribute to the discount.更多还原