An Empirical Study on Closed-End Fund Discounts in China: On a framework of Investors’ Sentiment Index

机译：中国封闭式基金折价的实证研究：基于投资者情感指数的框架

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The closed-end funds discount provides a startling counter example to the well-known efficient market hypothesis. Based on the framework of liquidity-investor sentiment of Baker & Stein (2004), the paper brings forward a model about the relation between sentiment and difference of discounts. The empirical results from panel data and cross-sectional data strongly support the hypothesis: funds with higher sentiment as measured by proxies for liquidity have higher premia (or lower discounts) than funds with lower sentiment. It finds that the cross-sectional difference of closed-end funds discounts is due to the sentiment attached.

机译：封闭式基金折价提供了一个著名的有效市场假说的反例。基于贝克和斯坦（Baker＆Stein，2004）的流动性投资者情绪框架，提出了一种情绪与折扣差异之间关系的模型。面板数据和横截面数据的经验结果有力地支持了这一假设：按流动性指标衡量的具有较高人气的基金比具有较低人气的基金具有更高的溢价（或较低的折扣）。它发现封闭式基金折价的横截面差异是由于附加的情感所致。

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来源
《2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会）论文集》|2009年|1-5|共5页
会议地点 Qingdao(CN)
作者
WANG Kaitao;
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作者单位

Economics and Management School, Wuhan University, Wuhan, P.R.China, 430072;

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会议组织
原文格式 PDF
正文语种 eng
中图分类统计学;
关键词
Closed-end Funds; Discounts; Behavior Finance; Sentiment;

机译：封闭式基金；贴现；行为金融；情绪;

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1. The Premium/Discount Of Closed-End Funds As A Measure Of Investor Sentiment: Evidence From Greece [J] . Dimitrios V. Kousenidis, Dimitrios I. Maditinos, Zeljko Sevic The journal of applied business research . 2011,第4期

机译：封闭式基金的溢价/折价作为衡量投资者情绪的一种手段：来自希腊的证据
2. Canadian Investors and the Discount on Closed-End Funds [J] . Mohamed A. Ayadi, Hatem Ben-Ameur, Skander Lazrak, Journal of financial services research . 2013,第1期

机译：加拿大投资者与封闭式基金的折价
3. Canadian Investors and the Discount on Closed-End Funds [J] . Mohamed A. Ayadi, Hatem Ben-Ameur, Skander Lazrak, Journal of Financial Services Research . 2013,第1期

机译：加拿大投资者与封闭式基金的折价
4. An Empirical Study on Closed-End Fund Discounts in China: On a framework of Investors’ Sentiment Index [C] . WANG Kaitao International Institute of Applied Statistics Studies . 2009

机译：中国封闭式基金折扣的实证研究：投资者情绪指数框架
5. A model of the discounts on closed-end mutual funds, the quantification of investor sentiment, and the inability of arbitrage to force closed-end fund share prices to par. [D] . Flynn, Sean Masaki. 2002

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7. Empirical Study on Discounts of Closed-End Funds in China Market—Based on Stock Concentration [O] . 陆靖昶 2009

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An Empirical Study on Closed-End Fund Discounts in China: On a framework of Investors’ Sentiment Index

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