论文部分内容阅读
有效市场假说对封闭式基金折价现象解释乏力,噪声交易理论提出了新的解释。论文基于Baker & Stein的流动性——投资者情绪分析框架,利用基金流动性作为投资者情绪指标,提出了投资者情绪与封闭式基金溢价(折价)的相关性模型,并利用中国封闭式基金平行数据的固定效应模型、随机效应模型以及横截面数据OLS分析方法,证明了投资者对基金的情绪显著影响封闭式基金折价,情绪较高的基金具有高的溢价(或者低的折价),证实了中国封闭式基金折价横截面差异受投资者情绪影响。
Efficient market hypothesis lack of explanation for the closed-end fund discount phenomenon, noise trading theory put forward a new explanation. Based on Baker & Stein’s liquidity-investor sentiment analysis framework, this paper uses the fund liquidity as the investor’s sentiment index, puts forward a model of the correlation between investor sentiment and the closed-end fund premium (discount), and uses China closed-end fund The fixed-effects model for parallel data, the stochastic effects model, and the OLS analysis of cross-section data demonstrate that investor sentiment on funds significantly affects closed-end fund discounts, while higher-emotion funds have high premiums (or low discounts), confirming China closed-end fund discount cross-sectional differences affected by investor sentiment.