本文選題：封閉式基金　切入點：折價率　出處：《西北大學》2014年碩士論文　論文類型：學位論文

【摘要】：封閉式基金份額的交易價格通常偏離其資產(chǎn)價值,而且絕大多數(shù)時候價格小于資產(chǎn)凈值,這一現(xiàn)象最早是在針對美國金融市場的研究中發(fā)現(xiàn)的,被稱為封閉式基金折價之謎。封閉式基金的折價之謎是著名的金融異象之一,從封閉式基金折價現(xiàn)象被發(fā)現(xiàn)以來,國內(nèi)外很多學者從多個方面展開了研究,對于封閉式基金折價的原因至今眾說紛紜,直到目前還沒有任何一種解釋被廣為接受。隨著國內(nèi)資本市場的快速發(fā)展,我國封閉式基金已經(jīng)頗具規(guī)模,但是我國的封閉式基金也存在著折價現(xiàn)象,并且折價和波動的幅度遠高于國外的平均水平。對此,國內(nèi)學者也給出了各種各樣的解釋,目前依然沒有得到一個統(tǒng)一的答案。 本文在歸納了封閉式基金折價理論和已有相關研究成果的基礎上,從行為金融理論的角度出發(fā),基于投資者噪聲交易理論來解釋我國封閉式基金折價之謎。文章首先建立理論模型,把投資者分為理性投資者和噪聲交易者,理性投資者不僅僅面臨其投資的封閉式基金組合的風險,還有由于噪聲交易者的噪聲交易行為所產(chǎn)生的額外風險,那么理性投資者需要更高的報酬來補償其所面臨的噪聲交易風險,從而導致封閉式基金折價。隨后本文選擇采用封閉式基金的周振幅為噪聲交易的替代指標來對封閉式基金的折價原因進行實證研究,因為非理性的噪聲交易會造成封閉式基金價格的非理性波動,周振幅能直接的反映出封閉式基金價格的波動程度。通過采用面板數(shù)據(jù)實證檢驗我國封閉式基金折價與噪聲交易之間的關系,實證結果顯示我國封閉式基金折價與周振幅呈負相關,即表明我國封閉式基金折價主要受到噪聲交易的影響。在分析和總結封閉式基金折價原因的基礎上,文章對我國封閉式基金的發(fā)展提出了相關的政策建議,其中包括基金監(jiān)管機構的改進建議、基金管理公司改善治理的建議以及對投資者梳理正確投資理念的相關建議。
[Abstract]:The trading price of a closed-end fund's share usually deviates from its asset value, and most of the time the price is less than its net worth, a phenomenon that was first discovered in a study of US financial markets. The riddle of closed-end fund discount is one of the famous financial anomalies. Since the phenomenon of closed-end fund discount has been discovered, many scholars at home and abroad have carried out research from many aspects. There are various opinions about the reasons for the discount of closed-end funds, but until now no explanation has been widely accepted. With the rapid development of the domestic capital market, the closed-end funds in our country have taken on a fairly large scale. However, there is a phenomenon of discount in closed-end funds in our country, and the range of discount and fluctuation is much higher than the average level of foreign countries. For this reason, domestic scholars have also given various explanations, and still have not got a unified answer. Based on the conclusion of closed-end fund discount theory and related research results, this paper starts from the perspective of behavioral finance theory. Based on the theory of investor noise trading, this paper explains the riddle of closed-end fund discount in China. Firstly, this paper establishes a theoretical model to divide investors into rational investors and noise traders. Rational investors are exposed not only to the risk of their closed-end fund portfolios, but also to the additional risks arising from the noise-trading behaviour of noise traders. Then rational investors need higher returns to compensate for the noise trading risks they face. Then this paper chooses the weekly amplitude of closed-end fund as the alternative index of noise trading to make an empirical study on the reason of closed-end fund discount. Because irrational noise trading can cause irrational fluctuations in the prices of closed-end funds, The weekly amplitude can directly reflect the fluctuation degree of closed-end fund price. By using panel data to test the relationship between closed-end fund discount and noise trading. The empirical results show that the discount of closed-end funds in China is negatively correlated with the weekly amplitude, that is, the discount of closed-end funds in China is mainly affected by noise trading. This paper puts forward some relevant policy suggestions for the development of closed-end funds in China, including the improvement of fund supervision agencies, the improvement of governance of fund management companies, and the relevant suggestions for investors to sort out the correct investment ideas.
【學位授予單位】：西北大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1621219