Statistical Analysis On The Closed-end Fund Discount

This paper attempts to investigate the potential cause of closed-end fund discounts in China. Unlike some existing studies, it looks at various factors that go beyond the traditional ones on the fundamentals of funds. For example, the separate market theory and the income-risk theory can not make clear the problem of fund discounts. Correspondingly, the achievement theory and illiquidity of assets theory only can explain the fund discounts partly. It founds that investor sentiment theory build on behavioral finance appears to be the driving force of the dynamic fund discounts. In the multi-factor regression model of closed-end fund discounts by the means of stepwise regression, the institution holding factor becomes the most important factor and then the achievement factor and the scale factor. After reviewing the history of closed-end fund in the overseas market, we find that closed-end fund will rise and fall along with different phases of market development, but will not go to pot. Correspondingly, we give some advices on how to settle down the problem of high discounts presently. Finally, we contrast the closed-end fund and the open-end fund and then look into the open-end fund's redemption from the angle of closed-end fund's discounts.