Research of Closed-End Fund Discount in Our Country
|School||Anhui University of Finance|
|Keywords||closed-end fund discount transition of closed-end fund toopen-end fund|
Closed-end fund discount is a phenomenon that the fund is sale at a price below its net asset value(NAV) in the closed-period. Weiss and Peavy(1990) summarized the characters of closed-end fund discount phenomenon and called that "puzzle of closed-end fund discount". The theorists have spent a long time to research and explore on this problem and got many results on the two framework of traditional finance theory and behavioral finance theory. However, the theories present can not give a reasonable explanation on emerging markets such as our country. So on the base of the theories discussed before this article eagers to apply newer and more comprehensive data to get an explanation about the closed-end fund discount in our country through the establishment of multiple linear regression equation.Firstly, this article summaries the different characters between the Western countries and China and describes the results about the research on the problem of closed-end fund discount. Secondly, according to the actual situation of the fund market in our country we select twenty-eight funds which had completed the transition as a sample. Subsequently, we take a statistical description about the sample by using the data of discount rate during the three years before the transition. Basing on the discussion before we select seven explanatory variables. Finally, we carry out a regression analysis on the funds which transiting from closed-end fund to open-end fund by the panel data model. The empirical results show that NAV, the size of fund, the proportion of funds which is held by insurance company, the number of stocks held by fund and market index can explain the problem of closed-end fund discount significantly, and MAV, the proportion of funds which is held by insurance company have a same diversification relationship with the discount rate, yet the other three factors have a different diversification relationship with the discount rate. In addition, the performance of fund company and the level of bonus give a weak explanation on the discount problem. Therefore, if we want to solve the high discount rate in our country, we not only taking a good deal of the significant variables which showed in the panel data model, but also strengthening the supervision of fund companies and changing the current pattern and proportion of bonus.