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Empirical Study on China Closed-end Fund Discount

Author: JingXu
Tutor: HuangXinJian
School: Chongqing University
Course: Finance
Keywords: Closed-end fund discount Modern financial theory Investor sentiment theory Mobility
CLC: F224
Type: Master's thesis
Year: 2008
Downloads: 133
Quote: 0
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Abstract


Closed-end fund discount problem?? Transaction process in closed-end funds, the transaction price is lower than its net asset value?? Is a rather strange phenomenon for decades, despite the world's financial experts and others Economic experts have been trying from various angles for this strange phenomenon to find a reasonable explanation, but so far there is still no one explanation could be truly convincing. China's late development of closed-end funds, but there has been a deeper discount than abroad, and for the reasons to produce this discount, the explanation given by domestic scholars are not the same, thereby, also produced China's \Fund Discount Puzzle. \In this paper, the research results from abroad on the basis of, respectively, from modern finance theory, investor sentiment theory and fund their own discount the impact of liquidity on the face of China's three closed-end fund discount has been studied and used in the study for the first time the new liquidity measures model to solve the previous studies allowed a measure of liquidity problems. Firstly, from the aspects of modern financial theory affect China's closed-end fund discount factors were studied through trading on the Shanghai and Shenzhen are still 38 funds in 2003 to 2006 data from panel data analysis found that the Fund's investment liquidity, fund performance, fund holders structure, fund size, time to maturity of the Fund are closed-end fund discount factors affecting verify the hypothesis of liquidity and fund performance hypothesis applicability in China. Secondly, the paper from China in terms of investor sentiment theory has been studied closed-end fund discount for the proposed four hypotheses, there are three basic meet investor sentiment hypothesis that different funds at the same time is highly relevant discount; fund Choose a small discount in general when issuing and listing; fund trading prices more volatile than NAV fluctuations. But the fund's discount rate changes and stock returns between different market but did not find no correlation. Based on Chinese stock market and the actual situation of closed-end funds, investor sentiment theory in China is still applicable. Again, the paper studies the closed-end fund discount their mobility and their relationship, we fund through the 38 time-series analysis and cross-sectional analyzes were not found in the Fund's own liquidity discount the impact of the Fund, to deny the proposed \illiquidity compensation \Finally, closed-end funds announced for the Chinese \

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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