1、畢業論文（設計）論文（設計）題目：淺析封閉式基金的折價問題及對策姓 名 劉竣梁 學 號 2008021501 學 院 經濟學院 專 業 金融學 年 級 2009級 指導教師 許云輝 2012年 2 月 5日目錄摘要2關鍵詞2引言2一、研究背景及意義2（一）研究背景2（二）研究意義3二、封閉式基金概述3（一）封閉式基金概念3（二）封閉式基金分類3三、折價原因的研究綜述4（一）傳統金融理論解釋4（二）行為金融學的解釋5四、折價影響因素多元逐步回歸分析6謝辭8參考文獻8英文文獻及翻譯9淺析封閉式基金的折價問題摘要：封閉式基金折價交易現象是金融領域中的一個難解之迷,世界各國的經濟學專家們試圖從各種角度

2、為這一奇異現象找出一個合理的解釋,但至今都沒有任何一種解釋能夠做到真正令人信服。綜述了國外有關這方面的研究, 闡述有效市場理論與行為金融學對于封閉式基金折價之謎的解釋,描述了我國封閉式基金折價現象的現狀,并在此基礎上,討論了我國封閉式基金在各種條件下可能存在的投資機會。關鍵詞：封閉式基金；交易折價；溢價abstract: closed-end fund discount phenomenon of trading in the financial sector is a gordian fans, the world's attempts to economics experts fr

3、om a variety of angles for this strange phenomenon to find a reasonable explanation, but so far have not any kind of explanation, to be truly convincing. overview of the research in this area of foreign explain the efficient market theory and behavioral finance for the closed-end fund discount puzzl

4、e explained, describing the phenomenon of china's closed-end fund discount status, and on this basis, to discuss the closed-end funds in china conditions may exist in a variety of investment opportunities.keyword: closed-end funds, trade discount, premium引 言封閉式基金（close- end funds）是指在合同期限內，經核準的基金

5、份額總額不變，基金份額持有人不能申請贖回，但可以在依法設立的證券交易所交易的基金。由于在封閉期內封閉式基金不能贖回或追加認購，基金的投資者只有在二級市場上，通過證券經紀商買賣基金。當封閉式基金在二級市場的交易價格低于其實際凈值時，我們稱這種情況為“折價”。有趣的是，雖然大多數封閉式基金都會以低于基金凈值的價格折價出售，但它的發行價格卻通常高于基金凈值水平。這就是封閉式基金的折價之謎，投資者明明知道它們在發行后不久價格會下跌，很難理解他們為什么當時還會買這些基金。一、研究背景及意義（一）研究背景1998 年，我國封閉式基金在剛剛起步階段，曾出現較大幅度的溢價，如最先上市的基金開元和基金金華的溢價

6、率分別為95.43%和101%。這可能是由于市場剛起步，投資者對封閉式基金尚不熟悉，再加上相關的優惠政策，使得封閉式基金成為二級市場投資者追捧的對象。1999 年，封閉式基金的溢價幅度逐步回落并開始出現折價，很多基金的折價率達20%。2001 年至2002 年中期，這個幅度曾有所下降。而2002 年中期至2006 年，折價率又開始大幅攀升，其中2005 年10 月21 日，封閉式基金的價值加權平均折價率曾一度達到43.84%，這個數字遠高于國外發達證券市場中封閉式基金折價率。但從2006 年下半年直到2008年，封閉式基金折價幅度有所緩和，此階段a 股市場出現大牛市，封閉式基金便隨著股市行情不

7、斷攀升而上漲。封閉式基金是相對于開放式基金而言的，其流通數量在存續期內保持不變。理論上，在有效市場假設前提下，每單位基金的交易價格和其凈值應該相一致，不會有較長時間或者是較大幅度的偏離現象發生。然而在很多國家，封閉式基金都存在較長時間的交易價格低于其凈資產價值的現象，這被學術界稱為“封閉式基金折價之謎”。（二）研究意義 有利于投資者選擇正確的投資策略。面對我國封閉式基金的折價現象，消費者該如何選擇投資策略決定著消費者能否獲得投資回報。消費者的投資策略包括消費則選擇進入市場的時間、持倉的數量及如何根據市場調整自己的持倉數量。我國股票市場在進入2011年以來出現了持續下滑的趨勢，此時對封閉式基金折

8、價對策的研究具有很強的現實意義。二、封閉式基金概述（一）封閉式基金概念封閉式基金屬于信托基金，是指基金規模在發行前已確定、在發行完畢后的規定期限內固定不變并在證券市場上交易的開放式基金和封閉式基金的關系。開放式基金和封閉式基金共同構成了基金的兩種基本運作方式。開放式基金，是指基金規模不是固定不變的，而是可以隨時根據市場供求情況發行新份額或被投資人贖回的投資基金。封閉式基金，是相對于開放式基金而言的，是指基金規模在發行前已確定，在發行完畢后和規定的期限內，基金規模固定不變的投資基金。 開放式基金不上市交易，一般通過銀行申購和贖回，基金規模不固定，基金單位可隨時向投資者出售，也可應投資者要求買回的

9、運作方式；封閉式基金有固定的存續期，期間基金規模固定，一般在證券交易場所上市交易，投資者通過二級市場買賣基金單位。封閉式基金就是在一段時間內不允許再接受新的入股票以及提出股份，直到新一輪的開放，開放的時候可以決定你提出多少或者再投入多少，新人也可以在這個時候入股。一般開放時間是1周而封閉時間是1年。基金是一種間接的證券投資方式。基金管理公司通過發行基金單位，集中投資者的資金，由基金托管人（即具有資格的銀行）托管，由基金管理人管理和運用資金，從事股票、債券等金融工具投資，然后共擔投資風險、分享收益。（一）封閉式基金的分類根據不同標準，可以將證券投資基金劃分為不同的種類根據基金單位是否可增加或贖回

10、，可分為開放式基金和封閉式基金。開放式基金不上市交易，一般通過銀行申購和贖回，基金規模不固定；封閉式基金有固定的存續期，期間基金規模固定，一般在證券交易場所上市交易，投資者通過二級市場買賣基金單位。開放式基金，是指基金規模不是固定不變的，而是可以隨時根據市場供求情況發行新份額或被投資人贖回的投資基金。封閉式基金，是相對于開放式基金而言的，是指基金規模在發行前已確定，在發行完畢后和規定的期限內，基金規模固定不變的投資基金。三、折價原因的研究綜述（一）傳統金融理論解釋對封閉式基金折價現象的傳統金融理論解釋主要建立在市場有效性假設的基礎之上。如果市場是有效的, 那么基金的內在價值應該等于單位份額基金

11、的資產凈值, 基金交易的價格也應該與其單位凈值基本一致。1、代理成本理論即基金的折價是因為基金的管理費用過高或者基金投資組合的管理不善所引起的。基金的日常運作需要成本,如果基金的管理費用過高或者基金未來的管理業績低于市場平均水平, 那么基金的價格應當低于其單位凈值。boud2reaux(1973) 提出, 如果基金的管理費用太高, 或者投資者預期基金未來的管理業績低于市場平均水平, 那么就會導致基金的折價。kumar 和noronha (1992) 實證檢驗了管理費用與基金折價的關系, 也發現了管理費用和基金折價之間的顯著關系。2、資本利得稅理論美國等一些國家的稅法規定,基金投資者在基金資產出

12、售或基金分配已實現資本利得時必須繳納資本利得稅。pratt (1966) 最早指出,投資者需承擔潛在的資本利得稅, 但這些資本利得稅并沒有在基金的單位凈資產價值中得到反映。當基金將來賣出相應資產, 實現這些資本升值時, 必須要支付資本利得稅。因而, 未實現的資本利得稅的存在造成基金折價, 而且基金的單位凈資產價值中包含未實現的資本利得稅越多, 基金的折價越大。3、流動性缺陷理論流動性觀點認為,由于基金投資于一些流動性較差的股票, 當大量出售這種股票時, 會造成股票價格的大幅下跌, 因此,基金所實現的資產少于公布的資產凈值,其價格會有一定程度的折價。malkiel (1977) 與lee 等人(

13、1991)的研究發現, 基金折價的大小與基金投資組合中所含流動性較差的股票數量的多少有顯著關系。國內劉煜輝和熊鵬(2004) 、何小鋒和程勇(2004) 認為資產流動性假說對中國封閉式基金折價之謎有較強的解釋力。張俊喜(2002) 、杜書明(2003) 、顧娟(2001) 的觀點卻與之相反。4、業績預期理論。該理論認為,基金價格與其凈資產價值的持續偏離是符合有效市場假說的,折價或溢價反映了對基金未來業績的預期。malkiel (1977) 認為基金的折價反映了公眾對基金業績的預期,基金管理人管理能力作為一種資產, 其價值不盡相同。如果投資者認為基金管理人具備優秀的投資管理能力, 預期未來的基金

14、業績很好, 基金可溢價, 反之, 基金則應折價。而lee 等人(1991)不贊同這一理論,他們發現,折價幅度較大的封閉式基金的資產表現反而優于幅度較小者。(二)行為金融學理論框架下的解釋在有效市場理論的框架下,傳統金融理論沒有很好地解釋基金折價現象, 這使得有些學者對市場理性產生了質疑。20 世紀90 年代以來,行為金融學打破了理性金融學關于投資者理性的假設,發展了新的觀點,對封閉式基金折價提出了新的解釋。delong、shleifer 、summer s、waldmann (1990) 等人提出了“噪聲交易者模型”, 即dssw 模型,認為噪聲投資者交易的不可預測性阻礙了理性套利者的套利行為

15、,結果使得價格嚴重與資產基本價值相偏離。該模型解釋了為什么即使投資者并不悲觀, 封閉式基金仍然會折價交易,同時使一些金融異常現象變得清晰起來, 包括資產價格的過度波動, 封閉式基金的折價, 以及股權溢價之謎等。薛剛(2000) 提出中國證券市場上的噪聲問題具有普遍性,投資者持有封閉式基金需要承擔較大的噪聲交易者風險, 其資產凈值中更含有較多“泡沫”,加大了流動性風險, 基金能夠實現的價值就會低于其賬面資產凈值。zweig (1973) 最先提出,封閉式基金的折價可能反映了個體投資者預期的假說。他認為非信息交易者是封閉式基金的基本持有者,當非信息交易者樂觀時,封閉式基金的折價幅度變小甚至出現溢價

16、。lee et al1 (1991) 沿用dssw的模型得出,封閉式基金的折價可能受到投資者情緒因素的影響而脫離基金凈值呈現更大的波動性。bodurtha 等(1995) 在國際證券市場上,也找到了支持投資者情緒理論的證據。黃少安和劉達(2005) 通過采用較大時間跨度的數據進行研究, 認為當前保險公司占據主體并采取被動投資策略的情況下, 個人投資者的情緒仍然會對基金折價產生重要的影響。四、折價影響因素多元逐步回歸分析我們用d表示第只基金的周折價率平均值；ggjzdi表示第只基金的持股集中度（%），用基金證券投資組合中前十大股票市值所占基金凈值的比例度量；mi表示第只基金的規模（單位：億份）；

17、op表示第只基金的投資者結構（%），用機構投資者對基金份額的持有比例平均值度量；shsj表示第只基金的上市時間，以2010年12月31日為基準，用各只基金上市日期距這天的時間來度量（單位：年）；sycxq表示第只基金的剩余存續期，以2010年12月31日為基準，用各只基金在這天距基金到期日的時間來度量（單位：年）；nev表示第只基金的周凈值均值，用各只基金各周凈值的平均值來度量。建立基金模型如下：dggjzdimiopshsjsycxqnev （1）設定進入方程的變量系數的臨界值為0.05，從方程中剔除的變量系數的p臨界值為0.1。由此可以看出，通過逐步回歸的方法逐步引入自變量計算其偏回歸平方

18、和，然后選一個偏回歸平方和最小的變量，在預先給定的水平下進行顯著性檢驗，如不顯著則剔除該變量，重新建立不包含該變量的回歸方程，如顯著則保留；如此進行下去，最后篩選出有顯著影響的變量建立最優的回歸方程 數據來源：2011年金融市場通過采用用stata10軟件對2010年12月31日各只基金的上市進行逐步回歸分析，所選擇進入回歸方程的變量系數的顯著水平臨界值為0.05。 圖1 逐步回歸分析結果把圖換成表由表1顯見最后進入回歸方程的變量是mi，sycxqi。說明這兩個主要因素影響了目前封閉式基金的折價，基金上市時間、基金凈值、基金的持股集中度和基金投資者結構影響不顯著。相應的回歸結果為： d1733

19、5040.240270mi0.767475 sycxq (2) 經調整的r20.512313，表示該方程對于折價現象有較好的解釋力。得出的主要分析結論如下：1）基金規模對封閉式基金折價的影響最為顯著，其回歸系數為負，表明基金規模越大，折價率數值越小，折價越小。這與前文分析相符合。基金的募集規模越大，反映了該基金在市場流通市值大，不易被“控盤”，另外，規模大的基金在調整投資時所對市場的影響也更大，需要市場支持更大的流動性，因此，其調整投資時所產生的成本也較高，相應的也應該承受較高的折價。2）基金剩余存續期對封閉式基金折價的影響較為顯著。剩余存續期折價的回歸系數為負，表明基金的剩余存續期時間越短，

20、折價率數值越大，折價越小，這與實際情況相符合。從投資者情緒的角度來看我國的封閉式基金市場，時間越長，基金的不確定性越大，基金本身炒作題材不多，追捧的熱情不高是折價延續的原因，越是接近到期日，基金的不確定性越小，投資者對獲得套利機會的期望越高，對基金的需求量越大，清算價格會提高到逼近凈值，從而使得基金的折價率越小。3）基金的持股集中度對折價率解釋不顯著，說明在我國，持股集中度并不能反映股票的變現能力。我國的股本結構問題以及真正藍籌股的匱乏，使得我國的資本市場不成熟，資本流動性受到局限。基金的投資者結構中相當比例的個人投資者影響了其對方程的顯著性，要大力發展機構投資者，進一步提高機構投資者的比重有

21、助于解釋變量顯著性的提高，也有利于基金投資價值的發現，使基金價格向基金的真實價值回歸。基金的收益率對折價率解釋不顯著，說明在我國基金的收益率不高，提高基金的管理水平和贏利能力能夠提高其對折價的解釋力。謝辭在論文即將完成之際，我對我的導師許云輝老師表示深深的謝意。我的這篇論文是在許老師的悉心指導下完成的，感謝許老師的耐心指導。其次，感謝所有教過我的老師，讓我學到了不少知識，讓我能夠用知識武裝自己。最后要感謝我的同學們，大家的交流讓我們從對方身上學習到許多東西，相互取長補短，也豐富了我們的知識。參考文獻1 尹華陽,王浩名. 1998 年- 2008 年封閉式基金折價的統計特征分析j . 時代金融,

22、2009 , (2) .2 伍燕然,韓立巖. 不完全理性、投資者情緒與封閉式基金之謎j .經濟研究,2007 , (3) .3 黃惠婷. 封閉式基金折價問題研究j . 學術研究,2008 , (5) .4 張權. 封閉式基金折價現象及套利機會分析j . 經濟論壇,2008 ,(16) .5 鄧國華. 封閉式基金折價之謎研究綜述 j . 當代經濟, 2005 ,(11) .6 王明,陳忠,蔡曉鈺. 國外封閉式投資基金折價現象研究綜述j .外國經濟與管理,2004 , (3) .7 張俊喜,張華. 解析我國封閉式基金折價之謎 j . 金融研究,2002 , (12) .8 董超,白重恩. 中國封閉

23、式基金價格折扣問題研究j . 金融研究,2006 , (10) 9何小峰，程勇我國封閉式基金之謎的實證分析山西財經大學學報，2004（12）：414610鄭文堂，徐曉標我國封閉式基金折價問題研究理論與改革，2005（1）：889011劉賽紅中國封閉式基金折價現象解釋及其實證系統工程，2006(12)：697312張建民，寧代兵從封閉式基金折價現象論中國股市的問題與對策經濟與管理經濟，2004(6)：353913shepherd，wgtobin8 q and the structure performance relationship：replyjamerican economic review

24、，1986，76：1205-121014schmalenseeindustrial economics：an overviewjeconomic journal，198898：67567615smirlock，mevidence on the(non)relationship between concentration andprofitability in bankingjjournal of money，credit and banking，r985，17：6983116berger，anthe profit relationship in banking tests of market

25、power andefficient-structure hypothesesjcredit and banking，1 995，27(2)：05-3 1英文文獻及翻譯china's closed-end securities investment fund portfolio management analysisabstract china's fund market is mainly open-end funds, closed-end funds only twenty or thirty, whether in the absence of closed-end f

26、unds can freely purchase and redemption under pressure to maintain a good investment management to investors with to better returns, by reference to this article xue-feng li, cao xiaofei (2008 study, assess the risks and benefits of building a state of the model and match the portfolio to determine

27、the reasonableness of the criterion of china's closed-end fund portfolio management empirical research analysis studies have shown that china's closed-end fund's portfolio as a whole is reasonable. keywords portfolio, closed-end funds, risk; earnings, reasonable a literature review china

28、's fund market is now mainly open-end funds, closed-end funds although there is more time than open-end fund for a long time, but has not been a large development, the small number of closed-end funds, only 60 , and open fund compared to investors in closed-end funds can not purchase the duratio

29、n and redemption, thus reducing the net assets of the redemption fund and reduce the pressure, but also due to the lack of incentives caused by redemption pressure due to open fund subscription and redemption mechanism to better meet the liquidity needs of holders, which funds open-end fund market a

30、re mainly presented by leaps and bounds, the current literature on china's closed-end fund's portfolio less the rationality of the study, examining closed fund asset allocation to reflect the reasonable operation of our closed-end funds is reasonable, whether to give investors a reasonable r

31、eturn on the development of china's closed-end funds have an important significance. present study for the closed-end fund closed-end fund discount direction of the problem, such as pratt (1996 and malkiel (1977, lee shleifer and thaler (1991, constantinides (1984, who studies behavioral finance

32、 perspective based closed-end funds momentum reversal effects, such as the solution for the (2009 study, based on the basic principles of capm, the use rate of return indicators, risk indicators and other performance metrics to examine the performance of our closed-end funds, such as zhang yuan perc

33、ent (2009 study. for the study of performance evaluation of securities investment funds and foreign scholars have a lot of research model. harry m. markowitz (1958 mean - variance model how to measure theoretically solve the portfolio's expected return and risk, how to balance these two indicato

34、rs allocation. treynor (1965, sharpe (1966 and michael c. jensen (1968, respectively, based on the capm model proposed three single-factor performance evaluation model, the basic idea is to make risk-adjusted returns of funds, while benefits can be and risks to be taken into account the evaluation i

35、ndex, namely te ruinuo index, sharpe and jensen index. to the capm-based models only consider single-factor evaluation of market risks, and can not explain the characteristics according to the classification of the stock fund portfolio the difference between earnings, so there is more research on mu

36、lti-factor model, multi-factor model based on arbitrage pricing theory as a basis, fama, french (1996) proposed a performance evaluation on the three-factor model. existing research and practice has shown that evaluation of fund performance must take into account the benefits and risks of investment

37、 in two aspects, both from the benefits and risks of building a comprehensive evaluation of the reasonableness of the portfolio. the above study provides us with some theoretical basis, the study closed-end funds raised from different perspectives of different research methods, but the shortcomings

38、of the current study is: there is little literature on the reasonableness of the portfolio to examine closed-end funds performance, given the portfolio of closed-end funds more basic research, where we refer to xue-feng li, cao xiaofei (2008 study, assess the risks and benefits of building a matchin

39、g state model, closed-end fund portfolio reasonable empirical research, at the same time to match the risk-benefit 'general principles' and 'best principles' to distinguish according to the capital asset pricing model, the general principle is the expected rate of return of securitie

40、s and they assume a positive correlation between systemic risk, that investment the high-yield will be accompanied by higher risk, while lower income risks they assume will be lower; optimal principle is rational and risk-averse investors have satisfied the characteristics of a certain risk that the

41、 pursuit of higher income or certain benefits under the pursuit of lower risk, so as to achieve the optimal risk and return match such a model is designed to scientifically study the performance of closed-end funds, closed-end fund portfolio characteristics evaluated. second, research ideas and meth

42、ods of design (a selection of risk and return indicators this choice of as a characterization of the risk of systemic risk indicators . portfolio coefficient p, portfolio of shares equal to the weighted average coefficient: which for the first stocks of the coefficient i, xi is the total market valu

43、e of the stock market value of the proportion of the share portfolio. if the portfolio p = 1, the same systemic risk and market risk, if p> 1, the combination of systemic risk that is greater than market risk, if p <1, then the combination of systemic risk than market risk, p = 0, then the com

44、bination of non-systematic risk due to p = 0 is unlikely, it can be ignored. we set the portfolio returns with rp, said: ri is the combination of stock returns, xi for a variety of stock market capitalization accounted for the proportion of the total market value of the portfolio. which, t ri by the

45、 rit said period, are: one, pit is the price of the stock in period t, pi (t-1) for the stock (t-1 period price, dit share dividend for the period t. (b portfolio reasonable chupan 1, based on the general principles general principle is the portfolio return should they assume the market risks to mat

46、ch, according to the definition of value, the market portfolio of all assets of the weighted average value of 1 will thus receive a combination of portfolio and the market value of the relationship type pm: for the proceeds of the indicators used to represent the portfolio rpm earnings benchmark por

47、tfolio returns and market relations. relational expression is: in general principle, we divided into three cases. case 1: pm <0 and rpm> = 0, or pm = 0 and rpm> 0. is characterized in that market risk is lower than the premise, to obtain a equal to or higher than the market return, or the r

48、isk is equal to the market under the premise of, access to higher-than-market returns. this shows that closed-end funds received during this period, the excess returns over market returns, at the same level of risk for investors to earn higher returns, which is a better state. case 2: pm> 0 and r

49、pm> 0, or pm <0 and rpm <0; or pm = 0 and rpm = 0. characterized by the risk higher than the market under the premise of the proceeds are higher than the market; or risk lower than the market under the premise of the proceeds are less than the market, or market risk is equal under the premi

50、se of the proceeds equal to the market in this state, corresponding to high-risk high-yield, low risk corresponds to the low-income to better reflect the risks and benefits match the general principles. case 3: pm> 0 but rpm 0, or pm = 0 but rpm <0. is characterized, in the bear market risk so

51、 under the premise of the proceeds equal to or lower than the market, or market risk equal to the premise , the proceeds less than the market in the states, the corresponding high-risk low-income, does not meet the general principles of risk-return match of the closed-end fund's investment portf

52、olio is unreasonable, the state is poor. 2, based on the best principles here we construct a study in a given level of risk the portfolio is to obtain a higher income base, first to use risk-adjusted returns to form rrp: rrp = rp / p (6 which, rp is a combination of income, p of portfolio risk. the

53、ratio is the meaning: the system of units to bear the risk of the portfolio when the return, yield and on behalf of the correspondence between systematic risk. then, select the benefits and risks of the market as a baseline for comparison. tectonic indicators rrm: rrm = rm / m (7 in which rm is the

54、market return, m to market risk due to the overall market's systemic risk m 1, so get rrm = rm. here, the market rate of return rm represents the entire market risk and return of the correspondence. finally, we construct a measure for a given level of risk the portfolio is to obtain a higher inc

55、ome base md: when md> 0, indicating the level of risk in assuming the same conditions, the portfolio return is higher than the market benchmark in the non-effective market risk and return in line with the principles of the optimal match, the situation is conducive to investors give investors a gr

56、eater return, when md <0, indicating the level of systemic risk in assuming the same conditions, the portfolio return below the market benchmark, failed to meet the best principles, the fund's portfolio there are irrational. references 1 harry m.markowitz.1952.portfolio selection j. journal o

57、f finance (7). 2 william f.sharpe.1966.mutual fund performance j. journal of business (39). 3 woochan kim, shang-jin wei.offshore investment funds: monsters in emerging markets.nber, 1990. 4 xue-feng li, cao xiaofei. qfii portfolio construction is reasonable study j. international economics and trade research, 2008 (4). 5 xue-feng li, qian zhang. china's securities investment fund investment management acts mature research j. securities market herald, 2006 (10). 6 li sun, lin. qfii securities investment in china in the empirica