本文關(guān)鍵詞：我國封閉式基金折價現(xiàn)象的實(shí)證研究　出處：《南京大學(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 折價率 投資績效

【摘要】：封閉式基金的折價之謎是國內(nèi)外基金業(yè)普遍存在的現(xiàn)象,我國的封閉式基金也深受高折價之苦,從而導(dǎo)致了封閉式基金市場發(fā)展陷入瓶頸。分別從市場有效假設(shè)和行為金融學(xué)理論出發(fā),對封閉式基金折價現(xiàn)象存在著不同的解釋。我國封閉式基金折價率的影響因素有哪些?在不同環(huán)境下封閉式基金折價率有何變動?封閉式基金折價率與投資績效之間的關(guān)系如何?能否根據(jù)基金折價率來選擇基金投資? 針對以上問題,本文選取了2006至2012年間22只封閉式基金的折價率數(shù)據(jù),試圖針對中國封閉式基金市場高折價現(xiàn)象的獨(dú)特現(xiàn)象,找出其主要的影響因素,并就這些因素對基金折價率的影響進(jìn)行實(shí)證分析,并在不同的牛熊市環(huán)境下分別考察這些影響因素。 筆者發(fā)現(xiàn),封閉式基金的剩余存續(xù)期、單位凈值收益率、累計凈值以及市場指數(shù)均能顯著的解釋封閉式基金的折價現(xiàn)象。其中封閉式基金的剩余存續(xù)期、單位凈值收益率與折價率呈正相關(guān)關(guān)系；封閉式基金的累計凈值和市場指數(shù)與基金折價率呈負(fù)相關(guān)關(guān)系。只有從噪聲交易的角度而無法從理性預(yù)期的角度來解釋其中某些現(xiàn)象。在牛熊市不同環(huán)境的分析中,封閉式基金的單位凈值收益率與折價率在牛熊市有著不同的影響：在牛市中,兩者為負(fù)相關(guān)；在熊市中,兩者為正相關(guān)。這說明在熊市中,噪聲交易現(xiàn)象更為顯著。 利用基金價格偏離實(shí)際價值的現(xiàn)象,可以對高折價的封閉式基金進(jìn)行有效投資,從而獲得超額收益。本文從經(jīng)典的三大指數(shù)模型出發(fā),分析了封閉式基金的投資績效,并將其與封閉式基金的折價率進(jìn)行相關(guān)性分析,結(jié)果表明,封閉式基金的折價率與其投資績效呈正相關(guān)關(guān)系。在此基礎(chǔ)上,本文構(gòu)建了一套基于封閉式基金折價率的投資策略,即根據(jù)高折價率反映的封閉式基金投資績效被低估的情況,找到這些被低估的基金,加以投資,可以獲得高于市場的收益率回報。最后根據(jù)歷史數(shù)據(jù)檢驗(yàn)其有效性。
[Abstract]:The riddle of the discount of closed-end funds is a common phenomenon in the fund industry at home and abroad, and the closed-end funds in China are also suffering from high discounts. This led to the closed-end fund market development into a bottleneck, respectively from the market efficiency hypothesis and behavioral finance theory. There are different explanations for the discount of closed-end funds. What are the factors affecting the discount rate of closed-end funds in China? Under different circumstances, what are the changes in the discount rate of closed-end funds? What is the relationship between closed-end fund discount rate and investment performance? Can according to the fund discount rate to choose the fund investment? In view of the above problems, this paper selects the data of discount rate of 22 closed-end funds from 2006 to 2012, and tries to aim at the unique phenomenon of high discount in the closed-end fund market in China. Find out the main influencing factors, and make an empirical analysis on the impact of these factors on the discount rate of the fund, and examine these factors in different bull bear market environment. The author finds that the residual life of closed-end funds, the rate of return per unit net worth, cumulative net worth and market index can significantly explain the discount phenomenon of closed-end funds, in which the residual life of closed-end funds. The rate of return per unit net worth is positively correlated with the discount rate; The cumulative net worth and market index of closed-end funds are negatively related to the discount rate of funds. Some of these phenomena can not be explained from the angle of rational expectation only from the angle of noise trading. Analysis of different environments in Bull Bear Market. Middle. The return on net worth and discount rate of closed-end funds have different effects in bull market: in bull market, they are negatively correlated; In a bear market, the two are positively correlated, which indicates that noise trading is more significant in a bear market. Using the phenomenon that the price of the fund deviates from the actual value, we can make effective investment in the closed-end fund with high discount price, so as to obtain the excess income. This paper starts from the classical three major index models. This paper analyzes the investment performance of the closed-end fund and analyzes its correlation with the discount rate of the closed-end fund. The result shows that the discount rate of the closed-end fund has a positive correlation with its investment performance. This paper constructs a set of investment strategies based on the discount rate of closed-end funds, that is to find these undervalued funds and invest them according to the undervalued investment performance of closed-end funds reflected by high discount rate. A higher return than the market can be obtained. Finally, its effectiveness is tested according to historical data.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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本文編號：1376324