封閉式基金折價交易現(xiàn)象研究.pdf

1、華東師范大學(xué)碩士學(xué)位論文封閉式基金折價交易現(xiàn)象研究姓名：李宏申請學(xué)位級別：碩士專業(yè)：世界經(jīng)濟(jì)指導(dǎo)教師：黃濟(jì)生20050401ABSTRACTAtpresent，almostalltheclosed—endfundsinChinatradeatdiscounts。ThispaperreviewsforeignandChinesediscounttheoriesandanalyzesthediscountphenomenonfrommark

2、etriskandarbitragemechanism。Itregardsthatthemarketsystematicriskoriginatedfromthefundcapitalportfolioisthefundamentalreasontoexplainthediscountphenomenon。Thediscountscompensatethissystematicrisk。Immediatereasonfromthispa

3、peristhescarcityofthearbitragemechanism。Wecaneasilydrawthisconclusionwhenwecomparetheclsoed—endfundswiththeLOFfListedOpen—EndedFund)andETF(ExchangeTradedFund)。Theexaminationofthispapershowsthatmarketsystematicriskputdiff

4、erenteffectonthediscountlevelforsmall—size、medium—sizeandlarge—sizeclosed—endfunds。Fortheindividialfundmodelincludingvariable(marketrisk、netassetvalueperunit、pre—termdiscountlevel、fundsizeandterm)canexplainthediscountcom

5、pletely。Attheendofthispaperitsuggeststhatthefurtherresearchonthehaircutwillhelpdiscernthediscountlevelandtheimplementofarbitragemechanismwillshortthediscoutlevel。KEYWORD：closed—endfunddiscounthaircutmarketsystematicriska