封闭式基金的超额波动性研究

On Excess Volatility of Close-end Funds

研究发现,封闭式基金的超额波动性有一半强的部分是特有的,而投资者情绪风险、市场风险、账面市值风险和小公司风险等四种系统风险度量解释了42.33％的超额波动性,其中投资者情绪风险因子贡献最大。

The study of the three-year weekly data of 20 close-end funds reveals that price volatility of each individual close-end fund is 43.48% higher than that of their portfolio. Causes of the excess volatility are examined here through four systematic risk measures, namely investor sentiment risk, market risk, book-to-market risk and small-firm risk It is also shown that more than half of the excess volatility is idiosyncratic, of which 42.33% can be explained by the four systematic risk measures mentioned above. However, relative to the other three risk measures, investor sentiment risk relates most and contributes significantly to the excess volatility.