摘要
本文运用定量分析方法,通过构造我国封闭式基金的折价模型,分析折价决定的理性预期成份和噪声交易成份,并从折价形成的机制上来剖析我国封闭式基金折价形成的原因,得出以下结论:折价的决定既包含噪声成份又包含理性预期成份,但更主要体现为噪声交易;在折价的噪声影响中,股票市场噪声交易程度大于基金市场噪声交易程度是封闭式基金折价的主要原因;基金的公司特征因素对基金折价的影响较小,反映出基金的管理能力并未体现出差异性,这加重了基金的折价。
The closed- end fund discount puzzle has perplexed western world for a long time, and caused discussions in Chinese market recently. This paper sets up the discount model by employing large amount of variables and data and tries to find the answer. The findings include: the discount of Chinese closed - end funds is determined both by rational expectations and noise trading, but mainly caused by noise trading in the securities market. This is in accord with the 'over noise trading' characteristics in Chinese immature securities market. In Chinese emerging market, the noise in stock market is much bigger than that in the fund market, which makes investors prefer stocks to funds. That the fund managers showing similar managerial ability exacerbates the discount.
出处
《金融研究》
CSSCI
北大核心
2004年第5期28-36,共9页
Journal of Financial Research
关键词
封闭式基金
折价
理性预期
噪声交易
closed-end fund, discount, rational expectation, noise trading
