摘要
针对中国股票市场封闭式基金折价现象,回望期权方法能较好地估算证券的流动性折扣,即基金交易的流动性不足这个因素对其折价的解释能力。该方法对类似中国这样的新兴证券市场具有一定的应用价值:不但能为证券市场管理者提供有价值的信息,为监管者判断市场是否理性提供依据,还能为投资者提供合理的参考交易价格。
As for the discounting of closed-end fund in Chinese stock market, the look-back option method can offer a good valuation of the liquidity discount of securities. Namely, the liquidity deficiency in the fund transaction is a factor that gives rise to the discount. This method is of certain application value to the newly developed securities markets like the one in China. Specifically, the method not only provides valuable information to administrators of securities market, assists market supervisors to judge if the market is rational, but also supply investors reasonable reference price of transaction.
出处
《西南交通大学学报（社会科学版）》
2005年第1期84-87,共4页
Journal of Southwest Jiaotong University(Social Sciences)
