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本文研究了中国封闭式基金价格报酬与净资产报酬的数据特征及其影响关系 ,主要的结果是 :( 1 )中国封闭式基金的价格报酬相对于基金的净资产报酬一方面存在过度波动 ,另一方面又存在反映不足 ;( 2 )通过检验表明 ,投资者情绪风险对价格报酬过度波动具有显著的影响 ,而Fama的三因素风险因子对价格报酬的过度波动几乎没有解释力 ;( 3 )封闭基金价格报酬的过度波动表明 :由于投资者行为使基金股票价格相对于基金净值存在额外的系统风险 ,封闭式基金折价正是对这种系统风险的一种补偿。
This paper studies the data characteristics of China’s closed-end fund price and return on net assets and its impact on the relationship between the main results are: (1) the price of China’s closed-end fund relative to the fund’s return on net assets on the one hand there is excessive volatility, and the other (2) The test shows that the investor’s emotional risk has a significant impact on the excessive price price volatility, and Fama’s three-factor risk factor has almost no explanatory power over the price volatility. (3) The closed The excessive volatility of the fund’s price remuneration shows that the closed-end fund discount is a kind of compensation for such systematic risk because of the extra systematic risk of the fund’s stock price relative to the fund’s net worth.