我国封闭式基金折价现象的实证研究

发布时间：2018-01-04 00:38

本文关键词：我国封闭式基金折价现象的实证研究　出处：《南京大学》2013年硕士论文　论文类型：学位论文

【摘要】：封闭式基金的折价之谜是国内外基金业普遍存在的现象,我国的封闭式基金也深受高折价之苦,从而导致了封闭式基金市场发展陷入瓶颈。分别从市场有效假设和行为金融学理论出发,对封闭式基金折价现象存在着不同的解释。我国封闭式基金折价率的影响因素有哪些?在不同环境下封闭式基金折价率有何变动?封闭式基金折价率与投资绩效之间的关系如何?能否根据基金折价率来选择基金投资? 针对以上问题,本文选取了2006至2012年间22只封闭式基金的折价率数据,试图针对中国封闭式基金市场高折价现象的独特现象,找出其主要的影响因素,并就这些因素对基金折价率的影响进行实证分析,并在不同的牛熊市环境下分别考察这些影响因素。笔者发现,封闭式基金的剩余存续期、单位净值收益率、累计净值以及市场指数均能显著的解释封闭式基金的折价现象。其中封闭式基金的剩余存续期、单位净值收益率与折价率呈正相关关系；封闭式基金的累计净值和市场指数与基金折价率呈负相关关系。只有从噪声交易的角度而无法从理性预期的角度来解释其中某些现象。在牛熊市不同环境的分析中,封闭式基金的单位净值收益率与折价率在牛熊市有着不同的影响：在牛市中,两者为负相关；在熊市中,两者为正相关。这说明在熊市中,噪声交易现象更为显著。利用基金价格偏离实际价值的现象,可以对高折价的封闭式基金进行有效投资,从而获得超额收益。本文从经典的三大指数模型出发,分析了封闭式基金的投资绩效,并将其与封闭式基金的折价率进行相关性分析,结果表明,封闭式基金的折价率与其投资绩效呈正相关关系。在此基础上,本文构建了一套基于封闭式基金折价率的投资策略,即根据高折价率反映的封闭式基金投资绩效被低估的情况,找到这些被低估的基金,加以投资,可以获得高于市场的收益率回报。最后根据历史数据检验其有效性。
[Abstract]:The riddle of the discount of closed-end funds is a common phenomenon in the fund industry at home and abroad, and the closed-end funds in China are also suffering from high discounts. This led to the closed-end fund market development into a bottleneck, respectively from the market efficiency hypothesis and behavioral finance theory. There are different explanations for the discount of closed-end funds. What are the factors affecting the discount rate of closed-end funds in China? Under different circumstances, what are the changes in the discount rate of closed-end funds? What is the relationship between closed-end fund discount rate and investment performance? Can according to the fund discount rate to choose the fund investment? In view of the above problems, this paper selects the data of discount rate of 22 closed-end funds from 2006 to 2012, and tries to aim at the unique phenomenon of high discount in the closed-end fund market in China. Find out the main influencing factors, and make an empirical analysis on the impact of these factors on the discount rate of the fund, and examine these factors in different bull bear market environment. The author finds that the residual life of closed-end funds, the rate of return per unit net worth, cumulative net worth and market index can significantly explain the discount phenomenon of closed-end funds, in which the residual life of closed-end funds. The rate of return per unit net worth is positively correlated with the discount rate; The cumulative net worth and market index of closed-end funds are negatively related to the discount rate of funds. Some of these phenomena can not be explained from the angle of rational expectation only from the angle of noise trading. Analysis of different environments in Bull Bear Market. Middle. The return on net worth and discount rate of closed-end funds have different effects in bull market: in bull market, they are negatively correlated; In a bear market, the two are positively correlated, which indicates that noise trading is more significant in a bear market. Using the phenomenon that the price of the fund deviates from the actual value, we can make effective investment in the closed-end fund with high discount price, so as to obtain the excess income. This paper starts from the classical three major index models. This paper analyzes the investment performance of the closed-end fund and analyzes its correlation with the discount rate of the closed-end fund. The result shows that the discount rate of the closed-end fund has a positive correlation with its investment performance. This paper constructs a set of investment strategies based on the discount rate of closed-end funds, that is to find these undervalued funds and invest them according to the undervalued investment performance of closed-end funds reflected by high discount rate. A higher return than the market can be obtained. Finally, its effectiveness is tested according to historical data.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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