基于封闭式基金折价特征的投资策略研究

发布时间：2018-03-29 15:21

本文选题：封闭式基金　切入点：折价率　出处：《大连理工大学》2014年硕士论文

【摘要】：封闭式基金折价是指基金市场价格低于基金单位净值的现象,这一现象在世界上各个证券市场上均存在,被称为“封闭式基金折价之谜”,受到了学者的广泛关注,但现在仍然没有一个解释能够完全令人信服。从1997年中国封闭式基金市场进入规范化时期以来,封闭式基金就长期处于高折价交易状态,这成为了中国金融学者关注的热点问题。以封闭式基金折价率为研究对象,采用中国21只封闭式基金2006年1月1日至2013年6月30日的面板数据,用统计分析和计量经济学,首先从基本面因素、市场因素、噪音因素等多个角度设计解释变量研究中国封闭式基金折价的原因,然后检验封闭式基金折价率变动规律,最后根据封闭式基金折价特征设计投资者对封闭式基金的投资策略,比较投资策略的有效性,并且比较在熊市和牛市中投资策略的优劣。研究结果发现：机构投资者比例、股票占资产净值比例、基金业绩、基金经理流动率、基金剩余期限和沪深300变化率六个因素是封闭式基金折价的原因,投资集中度、基金份额与折价率之间不显著相关。中国封闭式基金长期存在折价现象,折价率呈均值回归特征。基于均值回归特征制定的反转策略是有效的,能够获得超额收益；基于惯性投资策略制定的惯性投资策略无效。在熊市时,采用反转投资策略无论长短期均有效；在牛市时,采用反转投资策略进行长期投资更有效,短期投资收益不稳定。总体上,反转投资策略在熊市时比在牛市时更有效。
[Abstract]:Closed-end fund discount refers to the phenomenon that the market price of the fund is lower than the net value of the fund unit. This phenomenon exists in every securities market in the world and is called "the puzzle of closed-end fund discount". However, there is still no completely convincing explanation. Since China's closed-end fund market entered a standardized period in 1997, closed-end funds have been trading at a high discount for a long time. This has become the hot issue that Chinese finance scholar pays close attention to. Taking the discount rate of closed-end funds as the research object, using the panel data from January 1, 2006 to June 30, 2013 of 21 closed-end funds in China, using statistical analysis and econometrics, first of all, from the basic factors, market factors, The noise factor and other explanation variables are designed to study the reasons for the discount of the closed-end fund in China, and then the law of the change of the discount rate of the closed-end fund is tested. Finally, according to the characteristics of the discount of the closed-end fund, the investment strategy of the investor to the closed-end fund is designed. Compare the effectiveness of investment strategies, and compare the advantages and disadvantages of investment strategies in bear and bull markets. The results show that institutional investor ratio, stock to net asset ratio, fund performance, fund manager flow rate, fund surplus period and the change rate of Shanghai and Shenzhen 300 are the reasons for the discount of closed-end funds, and the degree of investment concentration. There is no significant correlation between fund share and discount rate. Chinese closed-end funds have a long-term discount phenomenon and the discount rate is characterized by mean regression. The reversal strategy based on the average regression feature is effective and can obtain excess returns. The inertial investment strategy based on inertial investment strategy is ineffective. In bear market, reverse investment strategy is effective in both long and short term; in bull market, it is more effective to use reverse investment strategy for long-term investment. Short-term investment returns are unstable. In general, reverse-investment strategies are more effective in bear markets than in bull markets.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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