封闭式基金折价与分红的实证研究

Empirical Study on Closed-end Mutual Fund Discount and Dividend

选取2005—2009年60只封闭式基金的周数据,建立相关变量对折价率的一元固定效应面板回归模型。研究发现,分红亚变量、存续时间、管理绩效、基金市场回报率、基金经理更换次数、基金公司管理封闭式基金总市值对封闭式基金折价率存在正效应,而换手率对基金折价率存在负效应。分红传递了业绩可持续的信号,降低了投资者信息的搜集成本,能够吸引特定资本增值和红利偏好的投资者,减少代理成本。有限理性投资者会选择引发其关注的分红基金,分红可以作为营销封闭式基金的一种策略。

Using the weekly data of closed-end mutual fund during the years from 2005 to 2009, this paper establishes a unary fixed effect panel data model to study the effect of dividend, fund life period, managerial performance, turnover rate, mar- ket return of closed-end mutual fund, change frequency of fund managers and total value of affiliated closed-end mutual fund upon discount rate. The research indicates that dividend variable, fund life period, managerial performance, market return of closed- end mutual fund, change frequency of fund managers and total value of affiliated closed-end mutual fund have positive effects on the discount of closed-end mutual fund. The turnover rate has a negative effect on the discount of closed-end mutual fund. Divi- dends have a strong signal effect, which means a persistent performance, which will reduce the cost to collect the information of investors and attract certain investors with capital appreciation and dividend preference so as to reduce the agency cost. The limit- ed rational investors will buy the funds which attract their attention to the dividends which can be a marketing strategy for closed- end mutual fund.