作者：蔡祥, 邹海峰, 李雅翀
摘要/Abstract
作为资本市场的一个长久之谜，封闭式基金折价一直得到学者及实务界的关注，本文从利益输送的视角对这一现象进行了实证研究。对我国证券投资基金制度的深入分析显示，基金经理具有从封闭式基金向开放式基金进行利益输送的自利动机，这种动机在行为上的体现直接影响到基金折价的截面差异。本文发现，封闭式基金对开放式基金的利益输送额越大，则该封闭式基金的折价率越大；相较于规模小的基金，规模较大的封闭式基金的基金经理的利益输送行为对折价的影响更为显著。本文结果对于我国基金的监管及制度的设计具有比较重要的现实意义。
In the stock market, the phenomenon of discount trading of closed-end fund is still
a puzzle that the researchers can’t interpret totally through all kind of theories. Based on the analyze to the institutional background of closed-end fund in our country, this paper tried to explain the discount of closed-end fund in Chinese capital market from the cross-fund subsidization perspective, which means that the fund managers have incentive to transfer some benefits from closed-end fund to opened-end fund for the personal and fund firm’s benefit. The differences among the extent of cross-fund subsidization in the closed-ends fund will cause the cross-sectional variation of discount In the following empirical test, the prediction is proved and we find that the more the subsidization, the higher the discounted rate; compared with the small-size closed-end fund, the subsidizing behavior carried out by manager in the closed-end
fund with a larger negative impacts on the discount rate.