我国封闭式基金折价和投资者情绪关系分析

本文选择我国市场的全部54支封闭式基金,对封闭式基金折价率和投资者情绪的关系进行系统研究。得出我国封闭式基金折价具有共同趋势、市场指数变化率及不同市值的股票组合收益率和封闭式基金折价正相关、基金上市时机选择在折价收窄的时间段等结论。证明投资者情绪确实能够系统地影响封闭式基金折价,进而说明封闭式基金折价率可以作为度量投资者情绪的市场指标。     

考虑生存偏差现象的我国封闭式基金绩效持续性研究

生存偏差是进行我国封闭式基金绩效研究不可忽视的问题。本文选取2001-2009年我国54只契约型封闭式基金为样本,研究了生存偏差对封闭式基金绩效持续性的影响。结论认为,我国封闭式基金生存偏差效应显著为负,所估计得到的生存偏差效应值介于每年-4.97%至-0.34%之间;退市基金规模较小、绩效较高是导致这一结论的主要原因;同时,研究发现,生存偏差会减弱封闭式基金绩效持续性。     

我国开放式和封闭式基金绩效比较的实证研究

近年来我国新设立的开放式基金远远多于封闭式基金。在数量迅速增长的情况下，开放式基金能否取得优于封闭式基金的绩效受到市场的普遍关注。本文选取了10家基金管理公司，每家公司各选一只开放式基金和一只封闭式基金，从收益率、风险调整后的绩效和择时能力三个方面比较了2004年1月至2005年4月期间开放式基金与封闭式基金的绩效。实证结果显示，在我国目前情况下，开放式基金的绩效略高于封闭式基金，但并不存在显著的差异．     

我国基金公司内部封闭式基金对开放式基金的补贴研究

由于封闭式基金与开放式基金的差异,基金公司倾向于补贴开放式基金而侵害封闭式基金的利益。经验证据表明,我国基金公司确实存在封闭式基金对开放式基金的补贴行为。论文进而构建了一个封闭式基金对开放式基金补贴模型,指出投资者偏好、市场预期的开放式基金销售量、激励机制、基金公司自身的管理能力是影响补贴行为的重要因素,并讨论了如何进行防范。     

突出性思考与封闭式基金投资者锚定效应

摘要：已有研究证实投资者存在锚定效应,但对锚定效应内在机理的探究稍显不足。本文基于突出性理论,通过理论推导证明突出性思考和锚定效应的关系,进而对我国封闭式基金投资者锚定效应与突出性思考的关系进行实证检验。研究发现：突出性思考是锚定效应产生的原因,封闭式基金锚定比率突出性程度越高,投资者采取买卖行为的概率将会越大;当封闭式基金具有突出的高锚定比率时,会激励投资者卖出基金,反之则会激励投资者买入基金。     

封闭式基金折价与管理绩效的实证研究

本文基于管理绩效理论,对我国封闭式基金折价现象进行实证研究。管理绩效理论认为,封闭式基金折价反映了投资者对于基金未来过低的管理能力的理性预期,未来管理绩效越差,折价越大。本文使用了多种基金绩效度量模型,分别采用引入时间哑变量和除去时间均值混合OLS回归方法以及Fama-Macbeth横截面回归方法,验证了折价率和未来管理绩效之间的关系。结果显示,封闭式基金折价和溢价反映了市场对于基金未来管理绩效的预期;当期折价率和未来管理绩效之间存在显著的正向关系,尤其在未来一个季度的时间内;这种关系不受非同步性交易效应和基金异质性的影响。本文同时发现,折价率对于未来管理绩效的解释能力强于过去的管理绩效对于未来管理绩效的解释能力。     

股权分置下封闭式基金折价率回归分析

封闭式基金折价现象,普遍存在于各国金融市场,一直是令研究者们困惑不解的难题.和西方国家相比,我国封闭式基金折价程度更为严重.因此,深入研究产生这一现象的原因,对促进我国封闭式基金的健康发展和资本市场的结构完善有着重要的理论和现实意义.     

封闭式基金价格,净值与股指的协整与引导关系实证分析

一、引言作为股市中的一个主要的金融工具,封闭式基金经过了二十多年的发展。目前,深沪两市上市交易的封闭式基金共有54只,其中沪市25只,深市29只,总规模为817亿元。当前,我国封闭式基金交易中的一个突出的问题是折价交易程度相当严重。虽然,大量的实证研究表明,封闭式基金折价交易在世界范围内均具有普遍性,但其折价程度在不同的国家之间存在着一定的差异。西方发达资本市场中也普遍存在封闭式基金折价现象。相关统计数据显示,美国封闭式基金平均折价率为10%,而在英国,这一数字大约为5%。封闭式基金的买卖是通过公开市场进行的,其运作与股票交易相类似,因此单位基金券的交易价格在一定程度上由市场供求状况所决定,并不一定完全反映基金的净资产价值,基金成交价格就有可能高于或低于基金净资产价值,即出现溢价(premium,又称升水)或折价(discount,又称贴水)。二、相关文献综述早期国内外学者对封闭式基金的研究大多是建立在理论框架下,立足与有效市场理论进行的。研究认为市场摩擦或基金自身一些独特风险因素,导致了基金价格暂时甚至长期偏离基金净值,并提出了包括净资产偏差假说,市场摩擦成本假说,等相关理论。随着行为金融理论的产生和发展,...     

封闭式基金转为开放式基金的可行性分析

我国从1998年到目前为止基金市场总规模达到二千亿元，占股票市场流通市值十分之一强。但目前阶段封闭式基金出现了很大的问题，主要表现为市场交易价格的高折价率、分红不理想和交易极度不活跃等。由于开放式基金本身所具有的优势和现在的现实和法律环境来看，封闭式基金应该有一部分按照某种方法转为开放式基金。     

我国封闭式基金之谜实证研究

封闭式基金以低于其每股资产净值的价格在市场上交易,就是所谓的"封闭式基金之谜"(closed-end fund puzzle).已有大量的学术研究发现,封闭式基金在上市后的绝大多数时间里是以折价的方式进行交易的,而且折价的幅度通常在10～20%之间,在我国证券市场上同样存在封闭式基金之谜.我们认为,正确认识我国的封闭式基金折价交易问题,对于封闭式基金的管理和运作,以及监管层在基金监管和制度设计方面,都有着积极的借鉴意义,而且考虑到国内的现有研究成果大多是对狭义的封闭式基金之谜进行检验和分析,因此,本文将在这些学者的研究基础之上,从我们的角度试图对我国封闭式基金之谜做出一个较为完整的解答.     

The Effect of Demand on Stock Prices: Evidence from Index Fund Rebalancing

I examine the effect of demand on stock prices by analyzing the conversion of the TIPs 35 and TIPs 100 exchange‐traded funds into the i60 Fund. This conversion occurred at the Toronto Stock Exchange on March 6, 2000. Forty stocks of the TIPs 100 Fund that were not members of the new units of the i60 Fund were sold to complete this conversion. I find that a decrease in demand produced a permanent stock price decline, which was accompanied by significant abnormal trading volume. The results provide support for the downward‐sloping demand curve hypothesis.     

Principles of trading market structure

The research for this article was supported by a grant from the New York Stock Exchange and by the Dean's Fund for Summer Research.     

Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach

This paper examines the determinants of the time it takes foran index options market to return to no arbitrage values afterput-call parity deviations, using intraday transactions datafrom the French index options market. We employ survival analysisto characterize how limits to arbitrage influence the expectedduration of arbitrage deviations. After controlling for conventionallimits to arbitrage, we show that liquidity-linked variablesare associated with a faster reversion of arbitrage profits.The introduction of an Exchange Traded Fund also affects thesurvival rates of deviations, but this impact essentially stemsfrom the reduction in the level of potential arbitrage profits.     

Are there profit (returns) in Shariah-compliant exchange traded funds? The multiscale propensity

This paper is the first attempt to investigate the multiscale tendency of the co-movement and cross-correlation of nine Islamic Exchange Traded Fund (ETF) returns across the global developed and emerging markets using both wavelet coherence and wavelet MODWT methods. The wavelet coherence results tend to indicate consistent co-movement between most of the ETF returns especially in the long run. The study also uncovers evidence of wide variation of co-movement across the time-scales during the global financial crisis and the Euro debt crisis. Strong co-movement can be observed during the global financial crisis, both for the medium term investors and long term investors. The paper studies the relationship between different ETF returns using wavelet multi-resolution analysis. The cross-correlation analysis also shows certain significant and positive correlations between the ETF returns, especially during the period of global financial crisis. The findings from these two recent dynamic time-scale decomposition methodologies have important policy implications for both risk management and investors’ investment policy.     

Analysis of intraday herding behavior among the sector ETFs

A body of literature has emerged suggesting that investors herd, or tend to make investment decisions on the basis of information provided by the trades of other market participants. In this paper, we use intraday data to examine whether traders herd during periods of extreme market movements using sector Exchange Traded Funds (ETFs). Two procedures, one based on identifying extreme up market and down market periods and the other based on incorporating a nonlinear term in a regression specification, are used to identify the possibility of the existence of herding behavior in nine sector ETFs traded on the American Stock Exchange. The results support the conclusion that investors do not herd during periods of extreme market movements using ETFs. Furthermore, we show that the market reaction to news is not symmetric for up markets and down markets.     

交易所国债期限风险溢价的实证研究

本文考察了上海证券交易所国债期限风险溢价的时间变化特征及决定因素。实证结果显示，债券剩余期限越长，平均风险溢价越高；通过对不同期限债券组合的风险溢价序列建立回归模型，发现长短期利差及风险溢价的前期值对中长期债券期限风险溢价的时变性具有明显的解释能力。     

Reflections on the practice of research

In this essay, we consider the relevance of research. To support our argument of its relevance, we offer three cases – Hull House, the Indian Trust Fund, and accounting standard-setting – that examine the taken-for-grantedness of accountability and the ways in which the term is frequently used.     

人民币汇率形成机制的特点及现实走势分析：2005—2008

本文首先对我国现行汇率形成机制的主要特点进行了归纳总结，然后在此基础上就2005年7月汇改以来人民币汇率现实走势以及相关表象之下的政策原理问题，分别展开了剖析和讨论，认为现阶段人民币汇率的最主要的特征突出地表现为两点：即部分行使货币政策职能和逐渐变得富有弹性。预计未来一两年内人民币对主要货币汇率在保持适度弹性的同时．在走势上将开始在一定范围内回归稳定。     

A smooth non-parametric estimation framework for safety-first portfolio optimization

In this paper, we adopt a smooth non-parametric estimation to explore the safety-first portfolio optimization problem. We obtain a non-parametric estimation calculation formula for loss (truncated) probability using the kernel estimator of the portfolio returns’ cumulative distribution function, and embed it into two types of safety-first portfolio selection models. We numerically and empirically test our non-parametric method to demonstrate its accuracy and efficiency. Cross-validation results show that our non-parametric kernel estimation method outperforms the empirical distribution method. As an empirical application, we simulate optimal portfolios and display return-risk characteristics using China National Social Security Fund strategic stocks and Shanghai Stock Exchange 50 Index components.     

The Trades of Market Makers: An Empirical Analysis of NYSE Specialists

This paper presents a transaction-level empirical analysis of the trading activities of New York Stock Exchange specialists. The main findings of the analysis are the following. Adjustment lags in inventories vary across stocks, and are in some cases as long as one or two months. Decomposition of specialist trading profits by trading horizon shows that the principal source of these profits is short term. An analysis of the dynamic relations among inventories, signed order flow, and quote changes suggests that trades in which the specialist participates have a higher immediate impact on the quotes than trades with no specialist participation.