本文選題：封閉式基金　切入點(diǎn)：折價(jià)率　出處：《大連理工大學(xué)》2014年碩士論文

【摘要】：封閉式基金折價(jià)是指基金市場(chǎng)價(jià)格低于基金單位凈值的現(xiàn)象,這一現(xiàn)象在世界上各個(gè)證券市場(chǎng)上均存在,被稱為“封閉式基金折價(jià)之謎”,受到了學(xué)者的廣泛關(guān)注,但現(xiàn)在仍然沒(méi)有一個(gè)解釋能夠完全令人信服。從1997年中國(guó)封閉式基金市場(chǎng)進(jìn)入規(guī)范化時(shí)期以來(lái),封閉式基金就長(zhǎng)期處于高折價(jià)交易狀態(tài),這成為了中國(guó)金融學(xué)者關(guān)注的熱點(diǎn)問(wèn)題。 以封閉式基金折價(jià)率為研究對(duì)象,采用中國(guó)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(jù),用統(tǒng)計(jì)分析和計(jì)量經(jīng)濟(jì)學(xué),首先從基本面因素、市場(chǎng)因素、噪音因素等多個(gè)角度設(shè)計(jì)解釋變量研究中國(guó)封閉式基金折價(jià)的原因,然后檢驗(yàn)封閉式基金折價(jià)率變動(dòng)規(guī)律,最后根據(jù)封閉式基金折價(jià)特征設(shè)計(jì)投資者對(duì)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(jié)果發(fā)現(xiàn)：機(jī)構(gòu)投資者比例、股票占資產(chǎn)凈值比例、基金業(yè)績(jī)、基金經(jīng)理流動(dòng)率、基金剩余期限和滬深300變化率六個(gè)因素是封閉式基金折價(jià)的原因,投資集中度、基金份額與折價(jià)率之間不顯著相關(guān)。中國(guó)封閉式基金長(zhǎng)期存在折價(jià)現(xiàn)象,折價(jià)率呈均值回歸特征�；诰祷貧w特征制定的反轉(zhuǎn)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(wú)效。在熊市時(shí),采用反轉(zhuǎn)投資策略無(wú)論長(zhǎng)短期均有效；在牛市時(shí),采用反轉(zhuǎn)投資策略進(jìn)行長(zhǎng)期投資更有效,短期投資收益不穩(wěn)定�？傮w上,反轉(zhuǎn)投資策略在熊市時(shí)比在牛市時(shí)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(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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