我国封闭式基金折价交易的行为金融学实证分析

An empirical test of Chinese closed-end fund puzzle under behavioral finance perspective

行为金融学用投资者情绪解释了基金折价交易的困惑,认为封闭式基金折价交易率代表了投资者情绪指数。通过对我国封闭式基金的实证研究,发现不同基金折价率及折价率的变化之间均具有较强的相关性,这种具有整体趋势性和联动性的折价交易现象是无法用现金流、代理成本、资产流动性等因素加以解释的。封闭式基金折价交易现象的系统性表明,我国不同的封闭式基金受到相同的投资者情绪的影响,这一实证结论与行为金融学对封闭式基金折价交易现象的解释相吻合。

Behavioral finance can explain the theory that changing sentiment of individual investors toward closedend funds. This paper tested the theory on Chinese closedend funds. The result is that there is a comovement in discounts of different funds. This comovement is seen existing between the strong correlation of the variable to the discounts of each individual fund. The positive correlations are consistent with the hypothesis that discounts on different funds are driven by the same investor sentiment.