An Empirical Study On The Discount Of Closed-end Funds In China

The closed-end funds discounts refers to the phenomenon that the price of them deviates from the net asset value (NAV) of their underlying portfolio. Closed-end funds discounts can be found in both mature and emerging markets. And it provides a startling counter example to the well-known efficient market hypothesis, which states that security markets are expected to be informationally efficient. As a common phenomenon in the capital market, the discount of the closed-end fund has been studied deeply in domestic and abroad, which is called "the closed-end fund puzzle", the empirical finding that closed-end shares typically sell at prices not equal to the per share market value of assets the fund holds. Understanding the mechanism of the hack and influence factors of discount of the closed-end fund, it does not merely contribute to guiding the management and investment of the closed-end fund itself, but also it has a meaning of important enlightenment that it manages the mobility of open-end fund. We try to propose some pointed effectiveness polices and suggestions for the supervisors'conclusion to contribute to standardization of security investment funds market.First, this paper reviews the literature on discount of closed-end funds in the world, then analyses the history and statistic characteristics of the discount in China. Second, this paper consults the investor sentiment theory from LST, and improve the third assumption that the use of limitations in the China, gives two hypotheses of the result which obtains, Explained the domestic closed-end fund investors structure different from the United States, but there was the same phenomenon, and proves the two hypotheses. The empirical results show that investor sentiment theory can explain the phenomenon of China's closed-end fund discounts. Finally, the suggestions to the future development of closed-end funds in our country were put forward.