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我国封闭式基金折价的管理绩效信息 被引量:5

Information Contents of Managerial Performance on Closed-end Fund Discount in China
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摘要 以20只封闭式基金为样本,通过线性回归分析发现,每只基金溢价和未来一星期NAV收益率没有显著关系,但是基金组成的平行数据回归表明,基金的溢价和未来一星期NAV收益率之间存在显著的正相关关系。从总体上看,中国封闭式基金的折价交易包含着基金未来管理绩效的有价值信息。 This paper examines whether premiums and discounts on closedend funds in China contain useful information about future NAV returns. First,separate regressions are run for each fund and it is found that there is only a weak relation between premiums and future NAV returns. Then data are pooled and regression coefficients are restricted to be equal across funds, and it is found that higher premiums are significantly associated with higher future NAV returns after controlling for the market return.
出处 《武汉科技大学学报》 CAS 2003年第1期107-110,共4页 Journal of Wuhan University of Science and Technology
基金 国家社会科学基金资助项目(0IBJL012)
关键词 封闭式基金 折价 资产净值 管理绩效 closed-end fund discount net asset value managerial performance
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参考文献9

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二级参考文献2

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共引文献20

同被引文献43

  • 1王擎.基金管理能力与封闭式基金的定价[J].财经科学,2004(S1):67-69. 被引量:2
  • 2赵俊,王皓.中国封闭式基金折价与管理绩效的关系[J].浙江金融,2004(10):22-23. 被引量:1
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引证文献5

二级引证文献13

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