我国封闭式基金折价问题研究

【作者】 朱桦；

【导师】 陈永生；

【作者基本信息】 西南财经大学 ， 金融学， 2006， 硕士

【摘要】 在有效市场的前提下,基金的收益满足资本资产定价模型(CAPM)的假设,无法获得超额收益。不同基金收益之间的差异仅仅是由于各自风险偏好的不同。基金在较高的风险下相应将获得较高的收益,在较低的风险下相应将获得较低的收益。既然封闭式基金不能获得超额收益,那么它的内在价值就应该等于基金的资产净值。然而,实证发现,封闭式基金的基金份额通常是以不等于其所拥有的资产净值的价格卖出的。尽管有时是以溢价卖出的,但大部分时间基金都会以折价的方式交易。因此,封闭式基金的折价交易现象被认为是金融领域内最令人困惑的问题之一。我国封闭式基金起步于1998年,至今已有八年多的历史了。1998年3月,我国最先发行的两只封闭式基金――基金开元和基金金泰,在上市之初就分别吸引了百万投资者的申购,基金上市后的溢价幅度曾一度超过100%。但随着封闭式基金数量的增多,我国封闭式基金也出现了类似成熟市场国家的持续折价交易现象。目前,我国封闭式基金出现了历史上罕见的大幅度、大面积折价,折价率不仅连续处于30%以上,并且创出了历史新高。在这种情况下,研究我国封闭式基金的折价交易现象就显得更加迫切和尤为重要。本文的研究目的在于结合我国证券投资基金市场的实际情况,试图解释封闭式基金折价有何表现特征、封闭式基金折价的原因、影响封闭式基金折价的主要因素,以及面对封闭式基金高折价的对策等问题,并据此提出一些有针对性的可操作性建议,为基金投资和基金管理提供指导,为改革和完善基金的运作方式和监管制度提供参考,从而对我国证券投资基金市场的规范和稳定发展起到积极的促进作用。在研究方法上,本文采取理论研究与实证研究相结合、定性分析与定量分析相结合的方法,首先分析了我国封闭式基金折价的现更多还原

【Abstract】 On the premise of Efficient Markets Hypothesis, investors of close-end funds can’t earn excess risk-adjusted returns according to CAPM. The diversity of profit in different close-end funds is that their risk preferences are different. Consequently, the fundamental value of close-end funds should be equal to the net asset value (NAV) per share. However, it is proved that the prices of close-end funds usually deviate substantially from NAV. Some time close-end funds are traded at a premium to NAV, but they are more often traded at a discount to NAV. It is considered as one of the most pondered-over problems in the financial field.Starting from 1998, the close-end funds have grown for more than eight years. In April 1998, the first two close-end funds, Fund Kaiyuan and Fund Jintai, attracted millions of investors in the early period of fund trade and the market prices of them enjoyed very high premium, even exceeded one hundred percent. However, in the process of vigorous growth of close-end funds, it has appeared a kind of phenomenon calling for serious consideration. That is the discount in market prices prevailed in fund trade, just like many western countries. At present, almost all the close-end funds in China suffer from severe discount in market prices, averaging over 30% in discount rate. Under this condition, it is more and more important and necessary to do research on the price discount of close-end funds in China.The main purpose of this thesis is to explore the characteristics and causes of price discount in the trade of close-end funds in our country, as well as some main factors affecting the high discount rate. Furthermore, the thesis proposes a number of countermeasures in a hope to guide people’s investment strategy, decrease the discount level and promote the更多还原