文档介绍：华中科技大学
硕士学位论文
中国封闭式基金折价因素分析
姓名:董雅俐
申请学位级别:硕士
专业:数量经济学
指导教师:孙焱林
20050512
摘要

封闭式基金折价问题一直困扰着理论界本文试图研究中国封闭式基金折价的
潜在原因我们首先回顾封闭式基金的国内外的发展历史及理论研究概况这些理
论主要从三个方面解释封闭式基金折价的原因从基金的计算存在偏差的角
度解释基金的折价现象从代理成本的角度解释基金的折价从纳税时机
的角度解释基金的折价从市场分割的角度解释基金
的折价从行为金融学的角度解释接下来阐述了我国基金折价的统计特征然后
着力采用定量分析方法来探究其根源通过各种直接和间接的统计检验我们发现
国内外一些对封闭式基金折价问题的传统阐释有的根本不能解释我国封闭式基金
的折价问题如市场分割理论收益风险对应理论有的则只能起到部分的解释作
用如业绩理论资产流动性理论而建立在行为金融学基础之上的投资者情绪理
论相对来说有较强的解释力然后运用多因素逐步回归的方法建立封闭式基金折价
的多因素回归模型并能发现机构持有因素成为解释基金折价的最主要因素其
次为业绩因素和规模因素接着结合我国的实际情况对我国封闭式基金的发展给
予展望即封闭式基金的发展随着市场发展的不同阶段而经历盛衰也会随着产
品创新而富有生命力不会走向没落相应的我们也针对目前存在的封闭式基金
高折价现象提出了几点建议最后通过对比封闭式基金与开放式基金从封闭式
基金折价的角度对开放式基金赎回进行了观察

关键词封闭式基金折价统计分析折价指数多因素逐步回归
Abstract

The discounts of closed-end fund have long disturbed us. This paper attempts to
investigate the potential cause of closed-end fund discounts in China. First it reviews the
history and study of closed-end fund in the overseas market. And then it describes the
statistic character of the discounts of closed-end fund. And it uses quantitative analysis to
ascertain the cause of close-end fund discounts. Unlike some existing studies it looks at
various factors that go beyond the traditional ones on the fundamentals of funds. For
example the separate market theory and the e-risk theory can not make clear the
problem of fund discounts. Correspondingly the achievement theory and liquidity of
assets theory only can explain the fund discounts partly. It finds that investor sentiment
theory built on behavioral finance appears to be the driving force of the dynamic fund
discounts. In the multi-factor regression model of closed-end fund discounts by means of
stepwise regression the institution holding factor es the most important factor and
then the achievement factor and the scale factor. we find that closed-end fund will rise and
fall along with different phases of market development but will not go to pot.
Correspondingly we give some advices on how