Advanced Search
MyIDEAS: Login to save this paper or follow this series

Noise-trading, Costly Arbitrage, and Asset Prices: Evidence from US Closed-end Funds

Contents:

Author Info

Abstract

The behavior of US closed-end funds is very different from that of the UK funds studied by Gemmill and Thomas (2002). There is no evidence that their discounts are constrained by arbitrage barriers, no evidence that higher expenses increase discounts and no evidence that replication risk increases discounts—but strong evidence that noise-trader risk is priced. The differences between US and UK funds may be due to the fact that small investors dominate US funds while institutional investors dominate UK funds, or because the sample selection method for the UK funds chooses only funds that are relatively easy to arbitrage.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://irving.vassar.edu/VCEWP/VCEWP71.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Vassar College Department of Economics in its series Vassar College Department of Economics Working Paper Series with number 71.

as in new window
Length:
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:vas:papers:71

Contact details of provider:
Postal: Maildrop 708, 124 Raymond Avenue, Poughkeepsie NY 12604-0708
Phone: (914)437-7395
Fax: (914)437-7576
Web page: http://irving.vassar.edu/VCEWP/VCEWP.htm
More information through EDIRC

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Boudreaux, Kenneth J, 1973. "Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation," Journal of Finance, American Finance Association, American Finance Association, vol. 28(2), pages 515-22, May.
  2. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  3. Steven A. Ross, 2002. "Neoclassical Finance, Alternative Finance and the Closed End Fund Puzzle," European Financial Management, European Financial Management Association, European Financial Management Association, vol. 8(2), pages 129-137.
  4. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. " Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, American Finance Association, vol. 46(1), pages 75-109, March.
  5. Chen, Nai-fu & Kan, Raymond & Miller, Merton H, 1993. " Are the Discounts on Closed-End Funds a Sentiment Index?," Journal of Finance, American Finance Association, American Finance Association, vol. 48(2), pages 795-800, June.
  6. Brauer, Greggory A., 1984. "`Open-ending' closed-end funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 13(4), pages 491-507, December.
  7. Pontiff, Jeffrey, 1997. "Excess Volatility and Closed-End Funds," American Economic Review, American Economic Association, American Economic Association, vol. 87(1), pages 155-69, March.
  8. Thompson, Rex, 1978. "The information content of discounts and premiums on closed-end fund shares," Journal of Financial Economics, Elsevier, Elsevier, vol. 6(2-3), pages 151-186.
  9. Levis, Mario & Thomas, Dylan C., 1995. "Investment trust IPOs: Issuing behaviour and price performance Evidence from the London Stock Exchange," Journal of Banking & Finance, Elsevier, Elsevier, vol. 19(8), pages 1437-1458, November.
  10. Gordon Gemmill & Dylan C. Thomas, 2002. "Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-end Funds," Journal of Finance, American Finance Association, American Finance Association, vol. 57(6), pages 2571-2594, December.
  11. Peavy, John W, III, 1990. "Returns on Initial Public Offerings of Closed-End Funds," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(4), pages 695-708.
  12. Sean Masaki Flynn, 2010. "Short Selling And Mispricings When Fundamentals Are Known: Evidence From Nyse‐Traded Closed‐End Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(4), pages 463-486, December.
  13. Zweig, Martin E, 1973. "An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums," Journal of Finance, American Finance Association, American Finance Association, vol. 28(1), pages 67-78, March.
  14. Chopra, Navin, et al, 1993. " Yes, Discounts on Closed-End Funds Are a Sentiment Index," Journal of Finance, American Finance Association, American Finance Association, vol. 48(2), pages 801-808, June.
  15. Brickley, James A. & Schallheim, James S., 1985. "Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 20(01), pages 107-117, March.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2013. "Investigating the role of illiquidity in explaining the UK closed-end country fund discount," International Review of Financial Analysis, Elsevier, Elsevier, vol. 30(C), pages 121-130.
  2. Flynn, Sean M., 2005. "Closed-end Fund Discounts and Interest Rates: Positive Covariance in US Data after 1985," Vassar College Department of Economics Working Paper Series, Vassar College Department of Economics 73, Vassar College Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:vas:papers:71. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sean Flynn) The email address of this maintainer does not seem to be valid anymore. Please ask Sean Flynn to update the entry or send us the correct address.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.