摘要
有效市场假说对封闭式基金折价现象解释乏力,噪声交易理论提出了新的解释。论文基于Baker & Stein的流动性——投资者情绪分析框架,利用基金流动性作为投资者情绪指标,提出了投资者情绪与封闭式基金溢价(折价)的相关性模型,并利用中国封闭式基金平行数据的固定效应模型、随机效应模型以及横截面数据OLS分析方法,证明了投资者对基金的情绪显著影响封闭式基金折价,情绪较高的基金具有高的溢价(或者低的折价),证实了中国封闭式基金折价横截面差异受投资者情绪影响。
The closed-end funds discount provides a startling counter example to the well-known efficient market hypothesis.Based on the framework of liquidity-investor sentiment of Baker & Stein,the paper brings forward a model about the relation between senti- ment and difference of discounts.The empirical results from panel data and cross-sectional data strongly support the hypothesis:funds with higher sentiment as measured by proxies for liquidity have higher premia(or lower discounts) than funds with lower sentiment.It finds that the cross-sectional difference of closed-end funds discounts is due to the sentiment attached.
基金
国家博士后科研基金项目(基金号:20060400859)阶段性研究成果
关键词
封闭式基金
折价
行为金融
情绪
Closed-end Funds
Discounts
Behavior Finance
Sentiment
