不完全理性、投资者情绪与封闭式基金之谜

Imperfect Rationality,Sentiment and Closed end fund Puzzle

本文的主要贡献在于运用不完全理性投资者的情绪解析中国"封闭式基金之谜",并且论证投资者情绪是资产定价的重要因素。首先通过国内数据检验封闭式基金价格的过度波动说明国内投资者的不完全理性;其次提出了对LST(1991)的改进方法,通过提出假说与统计论证,解释了尽管国内封闭式基金的投资者结构与美国的不同,却有和LST类似的实证结果;进而利用其他反映情绪的指标间接证明封闭式基金折价是情绪指标;最后,检验情绪对市场收益的长期反向影响(长期收益反转)和情绪对短期市场收益的正向影响(短期收益惯性),论证了投资者情绪是资产定价的重要因素。

＂Chinese Closed-end-fund puzzle＂ is explained by using the sentiment of imperfectly rational investors, which is proved to be the key factor of asset pricing. Firstly, we argue that Chinese stock market is inefficient by showing excess volatility with Closed-end-fund price. Secondly, two new hypothesis are raised in order to explain our outcome as same as LST（ 1991 ） comparing with the different investors structure with CEFs in USA. Thirdly, we prove that the discount of CEFs is a sentiment indicator. Finally, we find that there exists the long-term negative and the short-term positive influence between sentiment and stock market return.