文档介绍：南京航空航天大学
硕士学位论文
投资者情绪在封闭式基金折价交易中的作用研究
姓名:薛晶
申请学位级别:硕士
专业:金融学
指导教师:徐强
2011-03
南京航空航天大学硕士学位论文
摘要
根据有效市场理论,投资者在资本市场上不能获得长期超额收益。封闭式基金作为资本市
场上重要的投资工具之一,却存在着长期折价交易的现象,被称为“封闭式基金之谜”。传统
金融学从代理成本、流动性、市场分割、税收等角度解释了折价交易现象,行为金融学另辟蹊
径,以投资者情绪假说为基础,为折价交易的研究开辟了更为广阔的视野。
本文在验证了投资者情绪在封闭式基金折价行为中的必要性后,同时考虑基本面因素和投
资者情绪因素,得到在长期折价变动中,投资者情绪作用远远大于基本面因素作用。接着,以
正性和负性突发事件为切入点,考察了剔除基本面因素后投资者情绪对封闭式基金折价的直接
作用,这也是首次提出验证投资者情绪影响折价的充分条件。最后,从市场投资者角度出发,
以问卷调查和访谈的方式,直接获得投资者情绪的第一手资料,并分析投资者情绪影响封闭式
基金折价的路径和长期折价的原因。
研究结果表明,投资者情绪是封闭式基金折价的充分必要条件。投资者情绪影响折价的原
因在于投资者情绪是系统性的,封闭式基金投资者情绪系统性特征与整个市场投资者情绪并无
显著差异,系统性的情绪构成了系统性风险的一部分,其要求被定价,因此,折价产生。由于
市场结构层次性欠缺,投资者本身也缺乏风险防范意识,导致我国投资者情绪热点集中在股票
市场,而忽略了其他资本市场产品,因此,我国封闭式基金会出现长达八年的超长期折价现象,
并且呈现出投资者情绪反转效应。改善基金公司内部管理机制、构建以投资为导向的多层次金
融体系是改善封闭式基金折价的出路,也是完善我国资本市场功能、活跃国民经济的必经之路。

关键词:封闭式基金,投资者情绪,突发事件,情绪作用路径,长期折价原因
I
投资者情绪在封闭式基金折价交易中的作用研究
Abstract
Efficient market theory claims that investors cannot have excessive profits in the capital market.
Closed-end fund, one of the most important investment vehicles in capital market, has long been
subjected to trading at a discount, which is known as “closed-end fund puzzle”. Classical financial
theory attempts to explain it in respect to cost, liquidation, market segmentation and tax. Behavioral
finance developed a different approach and managed to open up a wider vision based on the hypothesis
of investor sentiment.
This paper tests the existence of investor sentiment in the closed-end fund discount behavior.
Then the fundamental factors and investor sentiment factor were both in consideration in the
closed-end fund discount. In the long run, investor sentiment plays a more important role than
fundamentals in the discount. Then, with the help of positive and negative events, we testified the direct
influence of investor sentiment, which is also the first to testify investor sentiment as sufficient
condition of closed-end fund discount. At the end, in the way of quest