封闭式基金折价的影响因素及对投资机会的研究

发布时间：2018-01-16 00:35

本文关键词：封闭式基金折价的影响因素及对投资机会的研究　出处：《内蒙古大学》2013年硕士论文　论文类型：学位论文

【摘要】：封闭式基金份额的交易价格通常是偏离其资产净值的,而且在绝大多数时候价格小于资产净值。这一现象最早是在针对美国金融市场的研究中发现的,被称为封闭式基金之谜。自被发现以来,这一问题一直困扰着理论界与实务界,众多的理论、假设也纷纷被提出以解释这一问题,但遗憾的是直到现在为止,这一问题都没有明确的论证。自我国的第一只封闭式基金在1992年上市以来,到现在为止,已有不少基金到期或转为开放式基金,我国的封闭式基金市场也经历了这一问题的困扰。本文将以仍存在于沪深两市证券交易所的23只封闭式基金为例,阐述我国金融市场上封闭式基金折价的动态特征,并采用定量分析的方法探究其根源,找出在我国封闭式基金市场,哪些因素是影响基金折价的主要因素。另外,依据封闭式基金在前一期的折价率构建资产投资组合,或者通过选择合适的封闭式基金然后持有到期,为投资者创造封闭式基金的投资机会。最后为封闭式基金交易中的投资者、托管者以及监管者提供一定的建议。具体而言,我们得出以下结论：(1)我国封闭式基金折价大体上符合国外研究中对封闭式基金的定价,不同的基金在同一时刻折价率不同,即便是同一只基金在不同的时间上折价率也是不同的；(2)不同的封闭式基金的折价在走势上呈现出正相关的态势,即封闭式基金之间具有很强的同质性,其单个个体之间的折价率差异不是很大。因此,基金价格相对与基金的资产净值的偏离,很可能对未来基金价格的走势有一定的预测作用；(3)我国金融市场上的封闭式基金折价有很多影响因素,但相关性都不是很强,只能在部分上解释基金的折价。在这一意义上,很难进行量化的投资者情绪可能是影响封闭式基金折价极为重要的一个因素。
[Abstract]:The trading price of a closed-end fund's share is usually deviated from its net asset value, and in most cases the price is less than the net asset value. This phenomenon was first found in the study of American financial markets. It is called the riddle of closed-end funds. Since it was discovered, this problem has been puzzling the theoretical and practical circles. Many theories and hypotheses have been put forward to explain this problem, but unfortunately until now. There is no clear argument for this problem. Since the first closed-end fund in our country listed in 1992, up to now, many funds have matured or turned into open-end funds. The closed-end fund market in China has also experienced this problem. This paper will take 23 closed-end funds that still exist in Shanghai and Shenzhen stock exchanges as an example. This paper expounds the dynamic characteristics of closed-end fund discount in China's financial market, and uses quantitative analysis to explore its root causes and find out the closed-end fund market in China. In addition, according to the discount rate of the closed-end fund in the previous period to build an asset portfolio, or by selecting the appropriate closed-end fund and holding maturity. Finally, it provides some advice to investors, custodians and regulators in closed-end fund trading. In particular, we draw the following conclusion: 1) the discount of closed-end funds in China is roughly in line with the pricing of closed-end funds in foreign studies, and different funds have different discount rates at the same time. Even the same fund has different discount rates at different times; 2) the discount of different closed-end funds shows a positive correlation in the trend, that is, there is a strong homogeneity among the closed-end funds, and the discount rate of the individual is not very different. The deviation between the fund price and the net asset value of the fund is likely to predict the trend of the fund price in the future. There are many factors affecting the discount of closed-end funds in China's financial market, but the correlation is not very strong, which can only explain the discount of funds in part. In this sense. Difficult to quantify investor sentiment may be a factor in the closed-end fund discount is extremely important factor.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】