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The existing of the closed-end fund discount -- the trade price is lower than the net asset value occurs in the whole process of the trade --is a peculiar extraordinary phenomenon. Although financial exporters and economists all around the
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Submitted On: 04-01-2010 | Views:
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The existing of the closed-end fund discount -- the trade price is lower than the net asset value occurs in the whole process of the trade --is a peculiar extraordinary phenomenon. Although financial exporters and economists all around the world kept attempting to figure out a reasonable explanation for this abnormal phenomenon for several decades, there was not a really convince one can be discovered.The closed-end fund in China developed comparably late, but it has presented discount at higher rate than that of foreign markets. Domestic economists provided various explanations for this phenomenon and did not get any obviously conclusion. Consequently, this is so called'the mysteries of the close-ended fund discount'in China monetary market.This dissertation base on the existing researches of foreign countries and analyzes three elements respectively impact the domestic close-ended fund discount which are modern financial theory, investor sentiment theory and the liquidity of the fund itself. Additionally, this dissertation has using fresh edition.Firstly, this dissertation analyzes various aspects which would influence the discount rate of the closed-end fund from the perspective of modern financial theory. According to the analyze of plan data for 38 funds which still traded in Shanghai and Shenzhen stock exchange from 2003 to 2006, and the liquidity of the fund investment, the revenue of the fund, the structure of the fund holders, the fund size and the expire time are considered as factors impact the discount of fund. This conclusion has proved the liquidity hypothesis and fund performance hypothesis are appropriate in China market. Additionally, the research has been done by investigating the investor sentiment theory and the consequence was three hypotheses in four were consistent to the theories. They were: the discounts of different funds were highly relative at the same time; the fund prefers to list when the total discount rate was smaller then usual; the fluctuation of trade price of the fund was larger than the fluctuation of fund net vale. Nevertheless, the relative relationship did not found between the discount rate of the fund and the earning ratio of stock. Based on the practice situation of China stock market and the closed-end fund, the investor sentiment theory is suitable for domestic market. This dissertation investigates the relationship between the fluctuation of closed-end fund and the discount rate. According to the analysis of time series and the analysis of cross section of 38 funds, it is believed that the fluctuation of fund does not have any impact on the discount rate. This result has denied the'illiquidity compensation'hypothesis. As a final point, the analyze of remaining discount rate after announcement of open the fund has been done and believe this part of discount is used for compensating the lost when the fund turned into open from closed.
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