投资者情绪对封闭式基金折价的影响——对我国封闭式基金折价变动的实证

本文以我国1999年7月之前发行的13只大盘封闭式证券投资基金为研究对象,从实证角度研究了我国封闭式基金的市场表现和相关数据的统计特征,主要的结论是:1.我国封闭式基金的折价及其变动主要是受投资者情绪的影响;2.基金折价率的变动也表现均值复归(mean—reverting)的特性;3.基金的折价率及其变动与基金上市期限的长短无关;4.我国基金折价与证券市场的平均报酬负相关。上述结论与Lee、Shleifer和Thaler(1991)和Pontiff(1997)等研究美国封闭式基金的结论有明显差别。本文从经济学、投资者情绪和市场环境等不同的角度对实证结果给予了合理的解释。

The Relationship between Closed- end Funds Discounts and Investors' Sentiment--An Empirical Study on Variation of Closed - end Funds Discounts in China

This paper choose thirteen large - scale closed - end funds issued before July, 1999 as research objects. An empirical study on the market behavior of closed - end funds discounts and statistical characteristic of related data is obtained in China. Our main conclusion are as follows: 1. The discounts and variation of closed - end funds in china's capital market are mainly affected by investors' sentiment;2. The variation of fund discount rate is also characterized as mean - reverting;3. The fund discount rate and its variation have nothing to do with time period since it is issued. 4. Closed - end funds discounts are negatively correlation with average return of stock market. These conclusions are obviously different with that of Lee, Sheif-er and Thaler( 1991) and Pontiff( 1997) who researched American closed - end funds. This paper explained the empirical results reasonably from the view of economics, investors sentiment and market circumstances in China.