A Study On The Discount Of Closed-end Fund In China

Closed-end fund discount refers to the phenomenon that the closed-end fund market transaction price is lower than its net value,widespread in the domestic and international fund market.The cause and mechanism of this problem has been a puzzling mystery in the academic circle and the investment community.China's closed-end funds have also been affected by the high discounts facing the development bottleneck,which is not conducive to the entire market innovation,being valued by scholars.In this paper,18 closed-end fund discount rate data in 2014.1.1-2017.1.1 are selected.By the combination of literature research with empirical research and the combination of qualitative analysis with quantitative analysis,aimed at the Chinese market,in order to find the explanatory variables from fundamentals,noise factors and market factors and examine these factors in different market conditions on the impact of discount rate changes.At the same time,based on the characteristics of closed-end fund,the validity of the relevant investment strategy is analyzed,and the applicability of the investment strategy in the CBBC is compared,which provides the reference for the trader and the supervisor.The study found tha time to market,net asset value performance,cumulative net value of the fund and market index has a certain interpretation of the fund discount.Among them,the first two and closed-end fund discount is a positive correlation between the latter two are negative correlation.Under two different market trends,The noise phenomenon is more obvious in the bear market.In the bull market,the net return rate of the closed-end fund is negatively correlated with the discount rate,and the bear market is positively correlated.Noise trading factors on the closed-end fund discount more efforts to explain.In addition,China's closed-end fund discount has a mean reversion,contrarian strategies based on this feature is valid,the opposite inertia strategy can not get excess profits.And the reversal strategy is different in different market conditions,bear market is more obvious than bull market effect.In the case of long-term holding closed-end funds by reverse strategy is more effective than short-term.