封閉型基金的折溢問題，是一個有趣且十分迷人的問題。它代表不只是，淨值不等於市場價格。而是，背後復雜的投資者情緒的問題。而封閉型基金之謎的存在，也證實了投資人情緒化的投資行為確實存在。根據Lee,Shleifer, Thaler(1991)的說法，一個完整封閉型基金至少包括四個部分：

1. 基金設立之初，都以超過10%的溢價發行，這一點很像一般的股票上市之後會有慶祝行情。
2. 上市之後，短短的幾週之內，由原本的溢價轉變成為不同幅度的折價，其中價格的差額，可能達到30%以上。
3. 且此折價的幅度，長時間仍然存在。
4. 當封閉型基宣布以清算形式或轉為開放型基金時，每股價格將上升，折價消失。
對於封閉型基金的解釋，一般而言分為，代理成本、未實現利益等一些傳統上效率市場的解釋，以及在行為財務學上投資人情緒化投資的解釋。但直到今日，卻沒有任何的學說，可以完整的解釋以上四個部分的過程。

本文利用中國大陸54檔封閉型基金的樣本，在2000年1月至2006年12月間的數據資料，去探討折價幅度與規模因素、績效因素、紅利因素等的關係，並探討在中國封閉型基金市場當中，從眾行為的強弱對於折價幅度的影響。結果發現，規模因素、 績效因素、紅利因素是造成中國大陸封閉型基金折價的主要因素，另外，我們同時也發現，當一個投資人，在訊息越不明確的情況之下，進而使得投資人不得不參考其他投資人的行為之下，他同時也會要求更高的折價。最後，我們發現不管在任何市場當中，所有基金的波動幅度都有高度的相關性，這樣的情況之下，更可以說明市場上雜訊交易者、以及他的情緒反應是影響折價幅度的主要原因。

Abstract
Closed-end mutual fund puzzle is an interesting and funny problem. It is not a problem that the net value is not equal to its market price, but the complicated investors’ sentiment. And, closed-end mutual fund puzzle can prove that the investors do their judgment by emotion. According to Lee,Shleifer, Thaler(1991), summarized four important pieces to the puzzle which together
Characterize the life cycle of a closed-end fund

1. Closed-end funds start out at a premium of almost 10 percent. It likes the equity that have honey moon.
2. After start out to the market, the premium turns into discount only in few weeks. Sometime, the degree of price changed more than 30%.
3. The discount will hold in the long run.
4. When closed-end funds are terminated through either liquidation or an open-ending, shares prices rise and discounts disappear.

The reasons to explain the puzzle include two parts, one part, the traditional reason, like agency cost and unrealized capital gain, and investors’ sentiment reason in behavior finance. But, this reason can’t explain the whole procession of the puzzle nowadays.

In our research, we use data in China equity market from Jan 2000 to Dec 2006. To discuss the size and dividend payouts rate their effect. We also test the herd behavior to affect the degree of the discount. We find that the size, the dividend pay out rate, and the performance are the main reasons to explain discount in China equity market. We also find that if investors have to face the uncertainty, they will be prone to buy the equity according to herd behavior. And, they will ask more discount. Under this circumstance, we can say that noise traders and his emotional reaction are the main reasons to cause the discount.

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