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基于期权分解定价模型,本文论证了完备市场上基金按净值定价的理论基础,进而通过宏、微观两个层面的对比,揭示了封闭式基金折价的机理在于现实金融市场的不完备性以及微观机制设计的不足。模型中动态修正因子的进一步引入,可以合理地解释封闭式基金折价问题的诸多谜团。基于我国的一个面板数据样本,实证分析结果较好地验证了本文分析框架的合理性。文章最后提出了降低折价率的宏、微观对策建议,初步探讨了本文分析框架和现有理论假说之间的关系,同时指出当前投资封闭式基金的机会所在。
Based on the option decomposition pricing model, this paper demonstrates the theoretical basis of the fund’s net value pricing in the complete market, and then compares the macro and micro levels to reveal that the closed-end fund discount mechanism lies in the imperfection of the real financial market and the micro-mechanism Insufficient design. Further introduction of the dynamic correction factor in the model can reasonably explain the many mysteries of the closed-end fund discount. Based on a sample of panel data in China, the empirical analysis proves the rationality of the analysis framework in this paper. Finally, the paper puts forward macro and micro countermeasures to reduce the discount rate, initially explores the relationship between the analysis framework and the existing theoretical hypotheses, and points out the opportunities for the current investment in closed-end funds.