封闭式基金之谜的噪音理论解释

Explain the Closed-end Fund Puzzle by Noise Theory

运用中国封闭式基金数据实证分析得出,资产代理人的缺失是现时噪音理论的缺陷,作为初期风险资产供给者的资产代理人,其行为特征会影响风险资产初期的价格函数;把噪音分为行业噪音与营销噪音可以解释封闭式基金上市溢价现象;资产代理人有多种的利益动机启动营销噪音,从而导致风险资产的初期溢价。

This paper modify the DSSW model and research the noise explanation of the Closed-End fund puzzle in China. Firstly, we point out that the neglect of the asset agent is the shortage of the noise theory. As the supplier at the first period, the behavior of asset agent will influence the asset price at the first period. Secondly, we define and divide the noise into industry noise and marketing noise to explain the premium of the Closed-End fund at the first period. Thirdly, the asset agent has some motivation to produce marketing noise. The risk to achieve that and the risk-averse character of the agent make them to produce too much marketing noise to make the premium come out. Above points have been supported by the data of the Closed-End fund in China.