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从基金的设立和交易机制出发,考虑封闭式与开放式基金的流动性差异及投资需求偏好,改进了Stulz和Wasserfallen(1995)的需求差异假说模型,建立了封闭式基金折价的需求差异模型并进行了实证分析。研究表明,需求差异、流动性不足和市场情绪变化导致了封闭式基金折价,股票市场流动性增大也会导致封闭式基金折价的增大。本研究对封闭式基金折价之谜进行了较系统的解释,为研究“封转开”和投资者投资时机选择提供了理论参考。
Based on the establishment and trading mechanism of the fund, considering the liquidity differences and investment demand preferences of closed-end funds and open-end funds, Stubz and Wasserfallen (1995) improved the demand-difference hypothesis model and established the demand-difference model of closed-end fund discount Conducted an empirical analysis. Research shows that demand differences, lack of liquidity and changes in market sentiment led to the discount of closed-end funds, and the increase of liquidity in the stock market will also lead to the increase of closed-end fund discount. This study provides a more systematic explanation of the mysteries of the closed-end fund discount, which provides a theoretical reference for the study on the “turn-around” and the timing of investor’s investment.