本文關(guān)鍵詞：封閉式基金折價(jià)的影響因素及對(duì)投資機(jī)會(huì)的研究　出處：《內(nèi)蒙古大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 封閉式基金 折價(jià) 基金分紅 基金業(yè)績(jī) 投資機(jī)會(huì)

【摘要】：封閉式基金份額的交易價(jià)格通常是偏離其資產(chǎn)凈值的,而且在絕大多數(shù)時(shí)候價(jià)格小于資產(chǎn)凈值。這一現(xiàn)象最早是在針對(duì)美國(guó)金融市場(chǎng)的研究中發(fā)現(xiàn)的,被稱為封閉式基金之謎。自被發(fā)現(xiàn)以來(lái),這一問(wèn)題一直困擾著理論界與實(shí)務(wù)界,眾多的理論、假設(shè)也紛紛被提出以解釋這一問(wèn)題,但遺憾的是直到現(xiàn)在為止,這一問(wèn)題都沒(méi)有明確的論證。 自我國(guó)的第一只封閉式基金在1992年上市以來(lái),到現(xiàn)在為止,已有不少基金到期或轉(zhuǎn)為開(kāi)放式基金,我國(guó)的封閉式基金市場(chǎng)也經(jīng)歷了這一問(wèn)題的困擾。本文將以仍存在于滬深兩市證券交易所的23只封閉式基金為例,闡述我國(guó)金融市場(chǎng)上封閉式基金折價(jià)的動(dòng)態(tài)特征,并采用定量分析的方法探究其根源,找出在我國(guó)封閉式基金市場(chǎng),哪些因素是影響基金折價(jià)的主要因素。另外,依據(jù)封閉式基金在前一期的折價(jià)率構(gòu)建資產(chǎn)投資組合,或者通過(guò)選擇合適的封閉式基金然后持有到期,為投資者創(chuàng)造封閉式基金的投資機(jī)會(huì)。最后為封閉式基金交易中的投資者、托管者以及監(jiān)管者提供一定的建議。 具體而言,我們得出以下結(jié)論：(1)我國(guó)封閉式基金折價(jià)大體上符合國(guó)外研究中對(duì)封閉式基金的定價(jià),不同的基金在同一時(shí)刻折價(jià)率不同,即便是同一只基金在不同的時(shí)間上折價(jià)率也是不同的；(2)不同的封閉式基金的折價(jià)在走勢(shì)上呈現(xiàn)出正相關(guān)的態(tài)勢(shì),即封閉式基金之間具有很強(qiáng)的同質(zhì)性,其單個(gè)個(gè)體之間的折價(jià)率差異不是很大。因此,基金價(jià)格相對(duì)與基金的資產(chǎn)凈值的偏離,很可能對(duì)未來(lái)基金價(jià)格的走勢(shì)有一定的預(yù)測(cè)作用；(3)我國(guó)金融市場(chǎng)上的封閉式基金折價(jià)有很多影響因素,但相關(guān)性都不是很強(qiáng),只能在部分上解釋基金的折價(jià)。在這一意義上,很難進(jìn)行量化的投資者情緒可能是影響封閉式基金折價(jià)極為重要的一個(gè)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.
【學(xué)位授予單位】：內(nèi)蒙古大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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