Price Pressure and the Role of Institutional Investors in Closed-End Funds
AbstractA trader-identified transactions database is employed to investigate: (1) the relation between order-flow imbalance and closed-end fund share prices and discounts; and (2) the role of institutional investors in closed-end funds. Empirical results are consistent with the hypothesis that buyers (sellers) of closed-end funds face upward-(downward-) sloping supply (demand) curves. The results also demonstrate that ownership statistics do not accurately reflect institutional investors' importance in the closed-end fund market. The results fail to provide evidence that institutional investors offset the positions of individual investors or that institutional investors face systematic "noise trader risk."
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.
Volume (Year): 20 (1997)
Issue (Month): 2 (Summer)
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