中国封闭式基金价格报酬过度波动的经验分析

本文研究了中国封闭式基金价格报酬与净资产报酬的数据特征及其影响关系 ,主要的结果是 :( 1 )中国封闭式基金的价格报酬相对于基金的净资产报酬一方面存在过度波动 ,另一方面又存在反映不足 ;( 2 )通过检验表明 ,投资者情绪风险对价格报酬过度波动具有显著的影响 ,而Fama的三因素风险因子对价格报酬的过度波动几乎没有解释力 ;( 3 )封闭基金价格报酬的过度波动表明 :由于投资者行为使基金股票价格相对于基金净值存在额外的系统风险 ,封闭式基金折价正是对这种系统风险的一种补偿。

Empirical Research on Excess Volatility of Stock Returns of Closed-end Fund in China

This paper investigate statistic characteristic and their relationships of the stock returns and NAV returns (net asset value return) of Closed-end Fund in China .We get the main results by empirical research as follow:(1)The stock returns of closed-end fund in China have not only more excess volatility than their NAV returns, but also the stock returns under-react to NAV returns.(2)By empirical tests ,we find the Investor's Sentiment Risk can explain well the excess volatility of the stock returns of closed-end fund in China, but Fama three factors(i.e. Market Return Risk, Small Capitalization Return Risk, Book-to-Market Return Risk) have no effect on the excess volatility of the stock returns of closed-end fund. (3)The excess volatility of the stock returns of closed-end fund can be considered as a kind of extro-risk over its underlying portfolio for investor's behavior,so the discount trading of closed-end fund is a kind of risk compensation for this excess volatility.