折價對封閉型基金市價報酬率影響之研究

Abstract

本研究係研究民國82年6月至民國85年9月間之國內15家封閉型基金，其 折價資訊與未來股價報酬率之間是否存在顯著之因果關係。所採用之模型 為向量自我迴歸模型，資料型態為週資料，實證結果如下: 一、落後期 折價資訊與未來股價超額報酬間之因果關係: 以全體基金而言: 在10%顯著水準之下，12家基金均存在顯著之因果關係。在12家存在顯著 因果關係之基金中，8家基金均是存在落後1期之因果關係，佔2/3;2家基 金為為落後3期，2家基金為落後6期。 依平均折價程度而言:高折價 組之全部基金之折價變動率與股價超額報酬率之間皆有落後1期之因果關 係。中折價組則80%有因果關係，但落後期數不一。低折價組則60%有因果 關係。 二、折價資訊長期對股價報酬率之影響: 各家基金之股價報酬 率對折價變動率此項資訊之衝擊反應，長期均無反應。12家基金其折價變 動率與股價超額報酬率之間為反向變動，代表在溢價減少(折價變大)時， 股價之超額報酬率會增大，亦即文獻中所支持之假說:折價之基金未來會 產生正的異常報酬。 The main purpose of this paper is to investigate the impact of discount onthe rate of return of closed-end fund.The model used in this empirical study isvector autoregression model,which is developed by Sims(1980).In this paper,we use the granger causality test and innovation accounting of this model.We takethe week data of 15 closed-end fund in Taiwan.The sample period starts from1993 (June) to 1996 (September),give us 170 observations for each fund in thesample.To get the net value of closed-end funds and the market price of each fund,we use observations available from JES and the financial data base of the business news paper. We find 12 funds passes the granger causality test,the most lag period of them is one week. Assistence with the paper by Brauer,the discount informationcan predict the roe of the closed-end fund.But by the innovation accounting,wecan find the discount information is no more influential over the roe of each fund in the long run.