解析我国封闭式基金折价之谜

An Empirical Analysis of the Close End Puzzle in China

封闭式基金折价问题自从我国被发现以来,一直困扰着理论界和实务界,对其发生的原因存在诸多猜测、众说纷纭。本文首先阐述了我国基金折价的动态特征,然后着力采用定量分析方法来探究其根源。通过各种直接和间接的检验,我们发现传统的、注重基本层面的理论无法解开我国基金折价之谜;相反,行为金融学的“投资者情绪”理论有较强的解释力。具体而言,我们得出如下三大结论:(1)不同封闭式基金的折价变动呈现高度正相关;(2)新的封闭式基金选择在现有封闭式基金的折价小时上市;(3)基金折价变动和不同市值股票的收益率变动之间的关系密切:当小市值股票收益率上升时,封闭式基金的折价就增加:反之,当大市值股票收益率上升时,基金折价便缩小。前两个结论与美国的情况相同,而第三个结论则相反。

This paper attempts to investigate the potential cause of close end fund discounts in China. Unlike some existing studies, it looks at various factors that go beyond the traditional ones on the fundamentals of funds. It is found that investor sentiment appears to be the driving force of the dynamic fund discounts. More specifically, three findings are obtained. First, the discounts of different close end funds are highly positively correlated, suggesting that they tend to move together. Second, periods when new funds get started roughly coincide with periods when discounts become relatively low. Third, discount changes and returns on stocks with small (big) capitalization increase, the discounts will be enlarged (reduced). The first two findings are similar to those in the U.S., while the third is just the opposite.