Closed-end Fund Discount Phenomenon

In most time,the shares of closed-end funds sell at prices below the net asset value of the underlying portfolio of securities,that is so called"closed-end fund discount".This phenomenon widely exists in Chinse capital market or foreign mature capital markets,and it is called "closed-end fund puzzle"by Lee,Shleifer and Thaler (1991) .As the dicount phenomenon on closed-end fund directly contradicts the efficient market hypothesis on first appearances,resesrchers have struggled for a long time to find rational factors that might explain the discount phenomenon.Due to the unique features of Chinse fund market, such as the reasons of tructure,system policys and the special investment ehavior of investors,the market of our country is very different from others. The researches such as what the characterize of the Chinese closed-end funds discount phenomenon, what inside reason it is, and various of possible factors to the influence degree of the discount rate . These researches of the topic have stronger academic meaning and applied values at present. In addition,the discount rate is an important factor used to evaluate closed-end fund. The diversification of the discount will affect the investment value of closed-end fund. To investor,the rcumstance of the high discount rate may exist the certain investment opportunity.This research has ttempted to explain the existence and the behavior of the discount phenomenon in Chinese closed-end funds market, will make the substantial evidence analysis into the inside reason for the behavior of the discount phenomenon in Chinese closed-end funds market and arbitrage mechanism caused by it, looking forword to put some useful suggestion to expect the fund investors and governor.On the foundation of definitioning the contents, the research is divided into five chapters:Chapter 1 made a basic introduction towards the related concepts of the problem of closed-end funds discount. In chapter 2, we made use of the history data to describethe discount phenomenon in our country by statistical means. We can ascertain the parameters in chapiter 3 and 4 thorough those researches.The research indicate that all the series of the disount rate are integrated of order 1, except few...