中国封闭式基金折价与管理绩效的关系

1966年Pratt首先在美国市场中发现了封闭式基金价格与净值的不一致性.随后的研究表明,发达资本市场中封闭式基金折价的现象普遍存在,这在金融领域被称为"封闭式基金折价之谜".理论界对此进行了大量的探讨和研究,其中绩效理论是非常重要的一种解释.这一理论认为,封闭式基金的折价反映了投资者对基金管理者过低管理绩效水平的预期.在实证方面,早期的一些研究如Malkiel(1977),Lee,Shleifer和Thaler(1991),Pontiff(1995)发现在未来基金绩效和折价水平之间没有显著关系或存在正向关系,这都否定了绩效理论的有效性.但其后的一些研究如Chay和Trzcinka(1999)则支持了折价反映基金未来绩效的假设.     

基于实证研究的行为金融理论解释:封闭式基金折价再探

本文基于行为金融理论解释建立了一个解释封闭式基金折价的多因素回归模型。实证表明基金上市时间、基金规模、基金业绩增长及红利政策等因素对折价率的波动有显著影响。     

我国封闭式基金折价原因及影响因素实证分析

封闭式基金折价交易现象是现代金融理论中的一个异象。为了解释该异象,经济学家提出了各种理论。主要包括价格冲击理论、管理业绩理论、预期收益理论、代理成本理论、未实现资本利得税赋理论等。然而,由于国外学者的实证分析全部基于国外基金数据,其结论不一定适用于我国,因此有必要结合我国基金的实际数据对上述理论分别进行检验。检验的结果表明,剩余到期时间、管理业绩和投资者的预期收益率确实对我国封闭式基金的折价率产生影响,但没有确实的证据表明价格冲击成本、代理成本能够影响基金折价率。     

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。     

赎回权的价值与封闭式基金折价率研究——兼论“封转开”方案设计

本文比较了封闭式基金与对等的开放式基金之间的差异，认为缺少赎回权是封闭式基金产生折价的主要原因。在一个具有完全择时能力的封闭式基金投资者的假设条件下，本文推导并证实了赎回权价值上限和隐含折价率下限计算公式。基于赎回权，本文提出了“封转开”方案设计的一个新思路，希望对市场上正在热烈讨论的“封转开”问题有所启示。     

踩点2007封基行情

从美国市场看,封闭式基金在过去几十年经常处于折价交易状态,折价率在20%左右,但折价会随到期时间临近逐步下降.从中国市场看,封闭式基金处于8折交易状态虽不合理,但也可能中长期存在.远期封闭式基金短期涨幅已经很大,折价率已有大幅度下降,获取超额利润的机会有很大降低.远期封闭式基金不再是稳健型投资者的第一选择,而应重点关注准开放式基金,即在一两年内到期的封闭式基金.     

中国创新型封闭式基金折价问题的实证研究

封闭式基金折价现象是金融领域中的一个热点问题,随着创新型封闭式基金的出现,折价现象出现了新的变化。本文将描述几只具有代表性的创新型封闭式基金,通过统计分析和相关性分析,比较它们的普通封闭式基金之间的异同,并对它们特殊的折价现象进行解释。     

中国创新型封闭式基金折价问题的实证研究

封闭式基金折价现象是金融领域中的一个热点问题,随着创新型封闭式基金的出现,折价现象出现了新的变化.本文将描述几只具有代表性的创新型封闭式基金,通过统计分析和相关性分析,比较它们与普通封闭式基金之间的异同,并对它们特殊的折价现象进行解释.     

解析我国封闭式基金折价之谜北大核心

封闭式基金折价问题自从我国被发现以来,一直困扰着理论界和实务界,对其发生的原因存在诸多猜测、众说纷纭。本文首先阐述了我国基金折价的动态特征,然后着力采用定量分析方法来探究其根源。通过各种直接和间接的检验,我们发现传统的、注重基本层面的理论无法解开我国基金折价之谜;相反,行为金融学的“投资者情绪”理论有较强的解释力。具体而言,我们得出如下三大结论:(1)不同封闭式基金的折价变动呈现高度正相关;(2)新的封闭式基金选择在现有封闭式基金的折价小时上市;(3)基金折价变动和不同市值股票的收益率变动之间的关系密切:当小市值股票收益率上升时,封闭式基金的折价就增加:反之,当大市值股票收益率上升时,基金折价便缩小。前两个结论与美国的情况相同,而第三个结论则相反。     

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,...     

A POSSIBLE RECONCILIATION OF SOME OF THE CONFLICTING FINDINGS ON CLOSED-END FUND DISCOUNTS: A NOTE

The most obvious explanation for the closed-end fund puzzle, the existence of managerial contribution (i.e., managerial performance less managerial fees), has been called into disrepute because of the inability of researchers to consistently document a negative relationship between such benefits and discounts. We present a model which shows that it is possible to account for some of the stylized facts without abandoning market efficiency and rationality. It is suggested that when one takes into consideration the impact of managerial contribution on the probability of open-ending, a negative relationship between managerial contribution and discounts actually may result.     

Managerial power, compensation gap and firm performance — Evidence from Chinese public listed companies

We study the relationship between compensation gap and firm performance in the Chinese market. Extant studies have shown that, for the publicly traded companies in China, compensation gap between senior executives plays a tournament role and motivates managers to achieve higher level of performance. Ordinary least squares (OLS) regression results confirm the above result. However, simultaneous regression results indicate that the tournament effect is more significant in firms with high managerial powers. Our finding suggests that previous findings using OLS might be incomplete. We also show that firms with better performance and greater managerial power tend to have greater compensation gap. Meanwhile, the relationship between managerial power and firm performance is, on average, negative.     

Payout policies and closed-end fund discounts: Signaling, agency costs, and the role of institutional investors

The adoption of a managed distribution policy or plan (MDP) by closed-end funds appears effective in dramatically reducing, even eliminating, fund discounts. We investigate two possible explanations: the signaling explanation proposed in the literature, that the MDP serves as a positive signal of future fund performance, and an alternative explanation based on agency costs. Our results indicate that signaling is, at best, only part of the explanation and that the evidence is generally more consistent with the agency cost hypothesis. For funds adopting aggressive payout targets of 10% (median target) and above, discounts tend to disappear, though there is no discernible improvement in NAV performance. Consistent with the agency cost hypothesis, it is often pressure from institutions/large shareholders that leads to the adoption of aggressive payout policies. Moreover, aggressive-MDPs are associated with a decrease in fund size and managerial fees. Suggestive of their activist role in MDP adoptions and/or informed trading, institutions – especially ones that are Value oriented – tend to build-up their holdings in a fund prior to the adoption of an aggressive-MDP, and liquidate their positions once the price rises.     

Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques

We propose a model for constructing Asian funds of hedge funds. We compare the accuracy of forecasts of hedge fund returns using an ordinary least squares (OLS) regression model, a nonparametric regression model, and a nonlinear nonparametric model. We backtest to assess these forecasts using three different portfolio construction processes: an “optimized” portfolio, an equally-weighted portfolio, and the Kelly criterion-based portfolio. We find that the Kelly criterion is a reasonable method for constructing a fund of hedge funds, producing better results than a basic optimization or an equally-weighted portfolio construction method. Our backtests also indicate that the nonparametric forecasts and the OLS forecasts produce similar performance at the hedge fund index level. At the individual fund level, our analysis indicates that the OLS forecasts produce higher directional accuracy than the nonparametric methods but the nonparametric methods produce more accurate forecasts than OLS. In backtests, the highest information ratio to predict hedge fund returns is obtained from a combination of the OLS regression with the Fung–Hsieh eight-factor variables as predictors using the Kelly criterion portfolio construction method. Similarly, the highest information ratio using forecasts generated from a combination of the nonparametric regression using the Fung–Hsieh eight-factor model variables is achieved using the Kelly criterion portfolio construction method. Simulations using risk-adjusted total returns indicate that the nonparametric regression model generates superior information ratios than the analogous backtest results using the OLS. However, the benefits of diversification plateau with portfolios of more than 20 hedge funds. These results generally hold with portfolio implementation lags up to 12 months.     

FACTORS AFFECTING THE BEHAVIOUR OF UK CLOSED END FUND DISCOUNTS 1968 TO 1977

This paper examines the behaviour of UK investment trust discounts for a sample of funds over the ten-year period 1968 to 1977. The cross section variability of fund discounts is considered using fundamental analysis and a large number of potentially important factors are isolated and measured. Using multiple regression analysis, the optimal set of explanatory factors is ascertained, and it is found that the best fitting linear model changes substantially from year to year. The results indicate that fundamental analysis using cross section data may not be useful in the analysis and forecasting of UK closed end fund discounts.     

Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond Funds

This paper documents that discounts and premia on closed-end bond funds exhibit the same sensitivity to broad market returns as stock fund discounts. Despite this, stock funds sell on average at discounts from net asset value while bond funds sell at small premia. This pattern calls into question the conclusion that the average level of the discount rate can be rationalized by appealing to the systematic nature of discount risk. These results indicate that appeals to investor sentiment, which have been hypothesized as a source of fund discounts, do not fully resolve the puzzle of closed-end fund discounts.     

Directors’ Ownership and Closed-End Fund Discounts

This paper investigates whether ownership by independent directors could provide them with effective monitoring incentives and thus help reduce discounts in the closed-end fund industry. We find that after controlling for fund observed and unobserved characteristics with the latter proxied by fund fixed effects, independent directors’ ownership is negatively related to fund discounts. We further find that funds whose independent directors have larger ownership are more likely to employ appropriate measures to reduce fund discounts, such as buying back outstanding shares, adopting managed distribution plans (MDPs) if they do not have such plans in place, or increasing the minimum payout targets under their existing MDPs. These findings may imply that independent directors become better monitors when they have larger ownership in the funds they oversee and are thus more diligent in taking actions to diminish discounts.     

Portfolio Manager Ownership and Mutual Fund Performance

This paper examines the association between a mutual fund manager's personal fund investment and mutual fund performance. From a data set of newly released managerial ownership disclosures, I find that fund ownership levels are diverse and, in many instances, quite large. Mutual fund returns are increasing in the level of managerial investment, consistent with personal ownership realigning decision-maker and shareholder interests. Also consistent with the reduction of agency costs, I find that managerial ownership is inversely related to fund turnover. However, there is no evidence of an association between managerial ownership and a mutual fund's tax burden.     

Managerial ownership and the disposition effect

This paper examines the relationship between mutual fund managers’ ownership and the disposition effect. Using recently disclosed managerial ownership data required by new SEC rules, we document that a significant number of mutual funds exhibit the disposition effect. Funds with managerial ownership exhibit significantly less disposition effect than those without, and the disposition measure decreases with managers’ percentage ownership. We also find that the disposition effect is negatively related to the degree of board independence and fund performance. Our findings suggest that the disposition effect is significantly affected by fund governance and higher managerial ownership may help mitigate the problem.     

Closed‐End Fund Discounts and Expected Investment Performance

This article provides empirical support for the theory that closed‐end fund discounts reflect expected investment performance. Evidence is presented to explain how equity closed‐end fund initial public offerings (IPOs) can sell at a premium when existing funds sell at a discount and why the initial IPO premiums decay after the IPO. Relative premium decay data are presented. Tests on (1) the relation between relative premium changes and investment performance following IPOs, (2) relative premium mean‐reversion following management changes, and (3) net redemptions following closed‐end fund open‐endings for funds trading at pre‐open‐ending announcement discounts individually support and collectively strongly support the theory.