投资者情绪对封闭式基金折价的影响研究述评

封闭式基金折价问题由来已久,本文对国内外文献进行梳理,从基本面因素、情绪因素等角度分别对封闭式基金折价问题进行剖析,本文的亮点在于追根溯源从心理学角度寻找投资者情绪的特征,从心理学文献中寻找折价的原因,并根据国内外文献,提出封闭式基金折价问题研究的切入点。     

基于封闭式基金折价的投资策略和政策建议

封闭式基金折价是困扰金融理论界的谜团之一,传统金融学学者从基本面因素对其进行剖析,行为金融学学者从投资者情绪出发,得到了更令人信服的解释。笔者认为,封闭式基金折价之谜的研究目的不在于如何解释这一现象,而是如何分析折价给投资者带来的投资机会,如何审视折价现象为监管层所带来的政策建议。     

期权定价的“有限理性”视角：基于投资者情绪的研究

2013年的种种迹象表明我国金融市场将进入期权时代。期权价值的确定是期权功能发挥的前提和基础。本文从行为金融学的角度出发,在传统二叉树期权定价模型的基础上,通过引入投资者情绪变量构建基于投资者情绪的欧式看涨期权定价模型。模型表明,投资者情绪不仅通过行为随机折现因子直接影响期权价值,而且通过影响标的证券的价值运行概率间接影响期权的最终价值;投资者情绪与期权价格之间呈现正相关关系。最后,基于长虹CWB1的实证研究也表明了传统期权定价模型存在的缺陷,通过求解权证实际交易价格与理论价格之间的偏差,可以反算出投资者情绪,进而预测权证的行为价值。     

封闭式基金转开放的套利机制研究

本文运用实证研究方法,通过对基金契约到期时间与基金折价率关系的考察,发现在基金陆续到期情况下,到期时间对折价率的影响越来越大,从而推导出购买到期日近的基金组合不仅可以获得超额收益率,而且较到期日远的基金回报更高。但是在该套利机制下,投资者也面临着基金市场的流动性问题以及基金管理人的不作为风险。     

Identifying regime changes in closed-end fund discounts

In seeming contradiction of the efficient markets hypothesis, closed-end fund shares typically trade at discounts to their portfolio values. We find that about half of these discounts are nonstationary. Focusing only on those funds that have stationary discounts, this study applies the Bai and Perron (1998, 2003a,b) methodology to test for structural breaks in the mean discounts. Virtually all have structural breaks, and our findings contradict previous studies that indicate closed-end fund discounts revert to a long-term mean value. The data indicate that closed-end fund trading strategies are more risky than they superficially appear. As structural breaks in mean discounts do not occur together, our analysis does not find support for a common factor (possibly investor sentiment) causing these breaks.     

Diversification discount and investor sentiment

While previous research has linked the diversification discount to suboptimal managerial decisions, recent empirical work and methods have shown these relationships are not as strong. A rational learning framework indicates the diversification discount is related to economic activity. Building on this framework, we test and find support for the hypothesis that investor sentiment explains the diversification discount. Investor sentiment favors riskier firms when sentiment is high, thereby increasing returns and relative valuations. As a result, diversified firms imputed value based on these multiples leads to a larger diversification discount and reverses when sentiment falls.     

基于多元统计分析的封闭式基金业绩评价

本文引入在险价值(VaR)和基金折价率指标,利用因子分析和聚类分析方法对基金业绩进行综合评价。实证分析发现我国封闭式基金收益率优于市场收益率,少数几只基金业绩相对突出,实现低风险高收益的目标。但封闭式基金折价幅度较大,基金内部收益水平与外部评价状况背离,反映了市场投资者的投资非理性现象。     

Information asymmetry,sentiment interactions,and asset price

We develop an asset pricing model with sentiment interactions between institutional and individual investors under the condition of information asymmetry. Our model considers private information and investor sentiment, two imperfections in securities markets, and integrates them into a theoretical model to investigate the role of the interaction between information asymmetry and investor sentiment in asset pricing. We show that the joint effect of private information and investor sentiment deviate the price of risky assets and efficiently explains anomalies in the stock market. Investor sentiment changes the effect of information on the equilibrium price relative to a world where all investors are completely rational. Private information changes the effect of investor sentiment on the equilibrium price in comparison with a scenario with symmetric market information. In addition, the individual investors’ learning and the disclosure of information both allow private information to be better integrated into the price and simultaneously changes the effect of investor sentiment on the equilibrium price.     

封闭式基金的市场流动性研究

本文在给出一个改进流动性指标的基础上 ,利用该指标对封闭式基金的市场流动性进行了分析。研究发现 :封闭式基金市场流动性不存在周内效应 ,周内也无显著的变动模式 ;封闭式基金流通股本规模对市场流动性有显著影响 ,市场偏好次小盘基金 ;封闭式基金市场流动性总体上对基金折价没有显著影响。     

Social network influence and market instability

Models of social networks depict individuals’ dependency. They offer a systematic way to capture the connectedness and opinion formations in the complex web of interpersonal influences. This paper studies price stability of a capital market, where the dynamics of participants’ opinion formations is formalized using social network models. Stability condition is derived. It is also identified how network structures are important in communications and in determining market stability. It is found that factors of highly-connected networks and balanced weight allocation on information sources can in fact be stabilizing. In applications, this study supports the view that the key to reduce the volatility behaviour of emerging-market securities lies in the development of an efficient investor base. It is suggested that one way to achieve this is by broadening and diversifying both the international and domestic investor categories for the underlying market.     

定向增发公告效应在股市中的异化现象——关于中国证券市场的实证研究

本文以中国证券市场2006～2008年成功进行定向增发的上市公司为样本,研究了定向增发公告效应在牛市、熊市中的异化现象。研究发现在牛市周期中仅仅公告日当天存在显著的正公告效应,公告日前后都不存在显著的正公告效应;但是在熊市周期中不仅公告日当天存在显著正公告效应,而且从公告日前两天开始一直到公告日后10天都存在显著正公告效应。在不同市场态势下,公告效应与折扣的关系也不相同:在熊市周期中,随着定向增发折扣的增加,公告效应相应减弱,而在牛市周期中公告效应增强。最后,论文给出了基于投资者情绪的理论解释以及相应的启示。     

创业板投资者情绪及其收益率相关性研究

本文采用向量自回归模型VAR方法分别研究了我国主板市场与创业板市场投资者情绪与收益率之间影响是系。研究发现我国主板市场中投资者情绪对收益率有显著影响,而收益率对投资者情绪无显著影响;而创业板市场表现不同,投资者情绪对收益率无显著相关影响。研究表明:出现上述现象的原因是由于两市场的投资者结构存在差异,创业板市场投资者更成熟、创业板政策及监管更为全面等原因。     

The Multijurisdictional Disclosure System and Value of Equity Offerings

The Canada and US multijurisdictional disclosure system (MJDS) implemented in 1991 lowered the indirect barriers for investors and issuers by easing reporting and disclosure requirements for cross‐border issues. This paper examines the impact of the MJDS and related regulatory changes on Canada–US equity market segmentation using a sample of Canadian seasoned equity offerings in the 1991–1998 period. We find that the number of cross‐border issues by Canadian firms increased, and the typical negative stock price reaction that accompanies seasoned equity issues declined over time, supporting increased integration between the two markets after the MJDS. We also document that cross‐border issues experience about 1.4 per cent lower negative stock price reaction compared with domestic issues, consistent with Canada–US market segmentation. We find mixed support for Merton's (1987) investor recognition hypothesis. While Canadian firms cross‐listed in the US experience a less adverse price reaction to their cross‐border offerings compared with their non‐US‐listed peers, there is no significant difference between the two groups in the case of purely domestic issues.     

Cross-border linkages among Asian closed-end funds

This study investigates the behavior of nine Asian closed-end country funds traded on the NYSE over the period 1990–2001. The results indicate that fund discounts follow a mean-reverting process and, furthermore, display various cross-border patterns of influence that are contingent on the period examined. Notably, for the overall period, the Korean Fund exhibits the strongest market leadership. However, in the period following the Asian financial crisis, movements in the Thai Fund's discount have the strongest influence on, and responsiveness from, the other country funds.     

Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis

This paper aims to explore the relationship between geopolitical risks (GPR) and investor sentiment in the US stock market based on Granger causality test and time-varying parameter vector autoregression (TVP-VAR) analysis. Empirical results indicate that changes in geopolitical risks can affect investor sentiment, whereas investor sentiment cannot affect geopolitical risks. More importantly, geopolitical risks have significant negative effects on investor sentiment, suggesting that higher (lower) geopolitical risks dampen (promote) investor sentiment directly or indirectly. Specifically, the negative effects of geopolitical risks show substantial time variation and generally decrease over time. The response of investor sentiment appears to be more pronounced in the short and medium term than in the long term, and is more sensitive to domestic geopolitical events. There is no significant difference in the impacts of geopolitical risks (GPR), geopolitical threats (GPT), and geopolitical acts (GPA). The results obtained are robust for alternative investor sentiment and geopolitical risk indicators.     

Enforcement of Accounting Standards in Europe: Capital-Market-Based Evidence for the Two-Tier Mechanism in Germany

On the background of regulatory initiatives that mandate the establishment of comparable enforcement systems in EU jurisdictions to ascertain consistent and faithful application of IFRS, this paper provides capital-market-based evidence on investor reactions for one specific institutional set-up: the two-tier enforcement system in Germany. In operation since 2005, the German enforcement mechanism consists of a private body, the DPR, which investigates compliance of published financial reports of firms listed on a regulated market segment and, upon error findings, involves the German securities regulator BaFin, which on a second level enforces disclosure of these findings to establish adverse disclosure (‘name and shame’). For a sample of error findings published in the period 2005–2009, we investigate short- and long-term market reactions to error announcements. Results for abnormal returns, abnormal trading volumes and abnormal bid‐ask spreads indicate that these announcements represent new, negative information and suggest that, despite an enforcement environment that is categorised as weak in the extant literature, the activities of the DPR/BaFin seem to penalise infringing firms and thus provide potential deterrence. Multivariate analyses yield weak evidence that the magnitude of the market value discount is positively associated with the severity of the errors, with the threat of subsequent litigation and with cases in which firms disagreed with the error findings of the DPR.     

The mean-standard deviation efficient set theorem: A note

This note is concerned with the proof of a revised version of the mean-standard deviation efficient set theorem. Given only risky securities, it is irrational to hold the global boundary portfolio, whereas when a riskless security exists a finitely risk-averse investor does not invest exclusively in such a security.     

证券投资基金需求与其风格关系的实证分析

以组合管理为基本方法的证券投资基金,由于其投资风格选择的不同会导致投资者对其投资偏好的差异,加之证券市场的非有效性和投资者的非完全理性,投资者对基金的投资决策更多基于心理动机和行为因素的判断。本文运用行为组合理论,对我国证券市场封闭式基金的折价状况进行了考察,分析了证券投资基金投资风格选择对基金需求的影响,针对我国证券市场投资者的需求特点和偏好状况进行了研究。     

Investor sentiment and Bitcoin relationship: A quantile-based analysis

This paper applies a quantile-based analysis to investigate the causal relationships between Bitcoin and investor sentiment by considering the possible effects of the ongoing COVID-19 pandemic. Such an analysis allows investigating the predictive power of investor sentiment (Bitcoin) on Bitcoin (investor sentiment) at different levels of the distributions. Results emphasize that only Bitcoin returns/volatility have significant predictive power on the investor sentiment whether investors are fear or greed before and over the COVID-19 period. Moreover, the COVID-19 crisis has no effect on the causal relationship between the two variables. Further analysis shows an asymmetric causality observed only during the pandemic period. Furthermore, the quantile autoregressive regression model shows a significant positive relationship between investor sentiment and Bitcoin returns.