本文選題：封閉式基金　切入點：折價率　出處：《大連理工大學》2014年碩士論文

【摘要】：封閉式基金折價是指基金市場價格低于基金單位凈值的現(xiàn)象,這一現(xiàn)象在世界上各個證券市場上均存在,被稱為“封閉式基金折價之謎”,受到了學者的廣泛關注,但現(xiàn)在仍然沒有一個解釋能夠完全令人信服。從1997年中國封閉式基金市場進入規(guī)范化時期以來,封閉式基金就長期處于高折價交易狀態(tài),這成為了中國金融學者關注的熱點問題。 以封閉式基金折價率為研究對象,采用中國21只封閉式基金2006年1月1日至2013年6月30日的面板數(shù)據,用統(tǒng)計分析和計量經濟學,首先從基本面因素、市場因素、噪音因素等多個角度設計解釋變量研究中國封閉式基金折價的原因,然后檢驗封閉式基金折價率變動規(guī)律,最后根據封閉式基金折價特征設計投資者對封閉式基金的投資策略,比較投資策略的有效性,并且比較在熊市和牛市中投資策略的優(yōu)劣。 研究結果發(fā)現(xiàn)：機構投資者比例、股票占資產凈值比例、基金業(yè)績、基金經理流動率、基金剩余期限和滬深300變化率六個因素是封閉式基金折價的原因,投資集中度、基金份額與折價率之間不顯著相關。中國封閉式基金長期存在折價現(xiàn)象,折價率呈均值回歸特征�；诰祷貧w特征制定的反轉策略是有效的,能夠獲得超額收益；基于慣性投資策略制定的慣性投資策略無效。在熊市時,采用反轉投資策略無論長短期均有效；在牛市時,采用反轉投資策略進行長期投資更有效,短期投資收益不穩(wěn)定�？傮w上,反轉投資策略在熊市時比在牛市時更有效。
[Abstract]:Closed-end fund discount refers to the phenomenon that the market price of the fund is lower than the net value of the fund unit. This phenomenon exists in every securities market in the world and is called "the puzzle of closed-end fund discount". However, there is still no completely convincing explanation. Since China's closed-end fund market entered a standardized period in 1997, closed-end funds have been trading at a high discount for a long time. This has become the hot issue that Chinese finance scholar pays close attention to. Taking the discount rate of closed-end funds as the research object, using the panel data from January 1, 2006 to June 30, 2013 of 21 closed-end funds in China, using statistical analysis and econometrics, first of all, from the basic factors, market factors, The noise factor and other explanation variables are designed to study the reasons for the discount of the closed-end fund in China, and then the law of the change of the discount rate of the closed-end fund is tested. Finally, according to the characteristics of the discount of the closed-end fund, the investment strategy of the investor to the closed-end fund is designed. Compare the effectiveness of investment strategies, and compare the advantages and disadvantages of investment strategies in bear and bull markets. The results show that institutional investor ratio, stock to net asset ratio, fund performance, fund manager flow rate, fund surplus period and the change rate of Shanghai and Shenzhen 300 are the reasons for the discount of closed-end funds, and the degree of investment concentration. There is no significant correlation between fund share and discount rate. Chinese closed-end funds have a long-term discount phenomenon and the discount rate is characterized by mean regression. The reversal strategy based on the average regression feature is effective and can obtain excess returns. The inertial investment strategy based on inertial investment strategy is ineffective. In bear market, reverse investment strategy is effective in both long and short term; in bull market, it is more effective to use reverse investment strategy for long-term investment. Short-term investment returns are unstable. In general, reverse-investment strategies are more effective in bear markets than in bull markets.
【學位授予單位】：大連理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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