金融市场不完全的理论分解与测度研究——基于中国封闭式基金折价的动态考察
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财经研究 2011 年 第 37 卷第 07 期, 页码：125 - 134
摘要
参考文献
摘要
基于金融市场不完全的结构分解,文章构建了一个涵盖市场交易费用、套利定价机制不完备程度和行为金融学因素的封闭式基金折价机理模型,分阶段计量分析发现:(1)普通交易成本因素影响基金折价约6.1%;(2)2007年前股指期货缺位因素导致基金折价约25.6%,之后随着股指期货的正式推出该影响显著下降;(3)市场套利定价机制不完备程度测度表明,该因素影响基金平均折价三个阶段分别为8.26%、5.87%和7.91%;(4)时期固定效应表明,有5个季度因投资者情绪相对乐观而降低了基金的平均折价率。
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[3]汪昌云,王大啸.赎回权的价值与封闭式基金折价率研究——兼论“封转开”方案设计[J].证券市场导报,2006,(10):47-51.
[4]王凯涛,袁泽沛,陈金贤.中国封闭式基金折价的联动性检验[J].数量经济技术经济研究,2003,(10):108-111.
[5]王擎.再析中国封闭式基金折价之谜[J].金融研究,2004,(5):28-36.
[6]张俊喜,张华.解析我国封闭式基金折价之谜[J].金融研究,2002,(12):49-60.
[7]Arrow K J,Debreu G.Existence of an equilibrium for a competitive economy[J].Econo-metrica,1954,22:265-290.
[8]Boudreaux K J.Discounts and premiums on close-end mutual funds:A study in valuation[J].Journal of Finance,1973,28:515-522.
[9]Brauer G A.“Investor sentiment”and the close-end fund puzzle:A 7percent solution[J].Journal of Financial Services Research,1993,7:199-216.
[10]Datar V.Impact of liquidity on premia/discounts in close-end funds[J].The QuarterlyReview of Economics and Finance,2001,41:119-135.
[11]De Long J B,Shleifer A,Summers L H,et al.Noise trader risk in financial markets[J].Journal of Political Economics,1990,98:703-738.
[12]Elton E J,Gruber M J,Blake C R.The persistence of risk-adjusted mutual fund per-formance[J].Journal of Business,1996,69:133-157.
[13]Lee C M C,Shleifer A,Thaler R.Investor sentiment and the close-end fund puzzle[J].Journal of Finance,1991,46:76-110.
[14]Levy Y eyati E,Ubide A.Crises,contagion and the close-end country fund puzzle[R].IMF Staff Papers,2000,47:54-89.
[15]Malkiel B G.The valuation of close-end investment company shares[J].Journal of Fi-nance,1977,32:847-859.
[16]Pontiff J.Close-end fund premia and returns implications for financial market equilibri-um[J].Journal of Financial Economics,1995,37:341-370.
[17]Zweig M E.An investor expectations stock price predictive model using close-end fundpremiums[J].Journal of Finance,1973,28:67-78.
引用本文
李庆峰. 金融市场不完全的理论分解与测度研究——基于中国封闭式基金折价的动态考察[J]. 财经研究, 2011, 37(7): 125–134.
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