封闭式基金折价与基金风险关系研究

Research of c1ose fund convert into money and tund risk relation research

本文开创性提出基金风险是引起基金折价的重要原因之一,即基金相对其投资组合的风险增加会导致基金折价。在理论分析的基础上,本文进行了实证研究,发现对于全额风险和分散化之后的风险,基金价格的风险都显著高于净值风险;基金价格中包含的额外风险多为特异性风险;基金折价水平与基金价格相对基金净值的风险显著正相关,即相对风险越高,折价越大,因此,风险是基金折价的重要因素之一。

This article firstly points out that fund risk is one of the most important reasons which make close-end funds traded with discounts. Based on the theoretical analysis and impirical study this article finds that the risk of fund price is high than the risk its net asset value significantly, and the additional risk of its price is mostly unsystematic. The fund discount is positively corelated with the realtive risk of it price to net asset value, and therefore risk index is an important factor.