An Empirical Study On Closed-End Fund Performance Evaluation In China

Already the course of more than eight years has finished leaving in the production and development in our country of security investment fund,especially in recent years,with the establishment of more and more investment funds,theory circle and discussion of the security investment fund of real affair cirele are very warm,the study on fund is more and more extensive with deepening too.Rise and development with the trade of security investment fund,how to use and draws lessons from the fund achievements of the western countries and appraise the system and cany on objective and overall appraisal to the security investment fund of our country rationally,become an important problem put in front of the theory worker and real worker in our country. With the development of the Chinese securities market,it has been of great necessity and urgency to study the investment funds. For this reason,this text draws lessons from the foreign fund achievemeni appraising theory mainly,especially puts the emphasis in the empirical research of the evaluation system of closed-end funds in our county.In order to give some advice for investors,it combines the situantion of our country.First,this paper gives the aim and meaning of research,and introduces the basic knowledge and mature evaluation briefly,then give a presentation of investment funds'history,basic situation and problems of outer circumstance,inner of funds management and the trends of closed-end funds in our country. With characteristic of our security market,the empirical research has an adjustment on Moringstar risk coefficient, using square of net loss instead of net loss,which intensify risk from loss and accord with investors'character of avoiding risk,and use a sample of 20 closed-end funds in 2003-2005. Compared with Treynor index, Sharpe index and Jensen index,this paper analyse the correlative coefficient between them.The results show that:the sample funds exceed the interest rate free of risk during the research period.In another word,it has excess profit,which explain there's no evidence prove that our stock market is effective.Besides,this paper analyses the infective factor on performance of security investment funds and suggests advices:make the market standard,improve the efficiency and amend the system of fund operation and treat closed-end funds right.