Our Country Closed-end Fund Investment Strategy And Enterprise Value Index Correlation Studies

China’s stock market had experienced a fierce fluctuation since2006. The Shanghai Composite Index flied from1350point in the beginning of2006to an ever new record summit-6124.04at sixth October,2007only by half and a year. And then, the index shut its growing momentum and drove back quickly while brought a bear market to the stock market. In the end of October2008, the index bounced from the lowest point-1664within the late two years but without stimulation since then. To the date of the end of2011, the index strolled embarrassingly around2200. Since the whole market had gone through such a fluctuation, there must be full of arbitrary opportunities during these periods, so that the surrounding had put the study of the behavior of institutional investors onto the table in these years. Till now, the studies of the investing strategies of institutional investors focus on what the result of different hypothesizes by given the portfolio of the selected stocks that may differ in selecting and holding periods. The main reason that studies avoiding directly aiming to the change of earnings and shareholding of institutional investors lays on the difficulty to achieve the trading details in stocks. This paper dealt with the data from the medium and annual reports with two assumptions and found a new way to analyze the actual investing strategy of close-end fund in China.By the data from above, this paper introduced a modified model of ITM first developed by Lakonishok, Shleifer&Vishny (1992), and the result showed that the managers of closed fund in China mostly chose momentum strategy during2006and2011, and their strategy also showed stability in the study. What’s more, this paper designed a logistic regression to analyze how the merit index of stocks influenced the investment choice of close-end fund, and then provided a landscape on the impact of finance crisis and industry properties to the investing choice. And found that the effects of merit index to institutional investors were growing more and more important, while the finance crisis had led the institutional investors more reasonable and more reliable to the value investing. In the end, this paper provided a conclusion and policy suggestions while also pointed out the shortcomings and the future studies.