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Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds

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  • Dylan Thomas
  • Gordon Gemmill
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    File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp02-09.pdf
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    Bibliographic Info

    Paper provided by Warwick Business School, Finance Group in its series Working Papers with number wp02-09.

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    Date of creation: 2002
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    Handle: RePEc:wbs:wpaper:wp02-09

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    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.:
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    1. Barclay, Michael J. & Holderness, Clifford G. & Pontiff, Jeffrey, 1993. "Private benefits from block ownership and discounts on closed-end funds," Journal of Financial Economics, Elsevier, vol. 33(3), pages 263-291, June.
    2. Warther, Vincent A., 1995. "Aggregate mutual fund flows and security returns," Journal of Financial Economics, Elsevier, vol. 39(2-3), pages 209-235.
    3. Chen, Nai-fu & Kan, Raymond & Miller, Merton H, 1993. " Are the Discounts on Closed-End Funds a Sentiment Index? A Rejoinder," Journal of Finance, American Finance Association, vol. 48(2), pages 809-10, June.
    4. J.B. Chay & Charles Trzcinka, 1997. "Managerial Performance and the Cross-Sectional Pricing of Closed-End Funds," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-20, New York University, Leonard N. Stern School of Business-.
    5. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    6. Malkiel, Burton G, 1977. "The Valuation of Closed-End Investment-Company Shares," Journal of Finance, American Finance Association, vol. 32(3), pages 847-59, June.
    7. Jeffrey L. Coles & Jose Suay & Denise Woodbury, 2000. "Fund Advisor Compensation in Closed-End Funds," Journal of Finance, American Finance Association, vol. 55(3), pages 1385-1414, 06.
    8. Brauer, Greggory A., 1984. "`Open-ending' closed-end funds," Journal of Financial Economics, Elsevier, vol. 13(4), pages 491-507, December.
    9. Edwin J. Elton & Martin J. Gruber & Jeffrey A. Busse, 1998. "Do Investors Care About Sentiment?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-028, New York University, Leonard N. Stern School of Business-.
    10. 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, vol. 19(8), pages 1437-1458, November.
    11. Elton, Edwin J & Gruber, Martin J & Busse, Jeffrey A, 1998. "Do Investors Care about Sentiment?," The Journal of Business, University of Chicago Press, vol. 71(4), pages 477-500, October.
    12. Kumar, Raman & Noronha, Gregory M, 1992. "A Re-examination of the Relationship between Closed-End Fund Discounts and Expenses," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 15(2), pages 139-47, Summer.
    13. Pontiff, Jeffrey, 1996. "Costly Arbitrage: Evidence from Closed-End Funds," The Quarterly Journal of Economics, MIT Press, vol. 111(4), pages 1135-51, November.
    14. 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, vol. 48(2), pages 795-800, June.
    15. Charles Lee & Andrei Shleifer & Richard Thaler, 1990. "Investor Sentiment and the Closed-End Fund Puzzle," NBER Working Papers 3465, National Bureau of Economic Research, Inc.
    16. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-86, March.
    17. Handley, Kathleen Weiss & Lee, Charles M. C. & Seguin, Paul L., 1996. "The Marketing of Closed-end Fund IPOs: Evidence from Transactions Data," Journal of Financial Intermediation, Elsevier, vol. 5(2), pages 127-159, April.
    18. Wansley, James W. & Roenfeldt, Rodney L. & Cooley, Philip L., 1983. "Abnormal Returns from Merger Profiles," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(02), pages 149-162, June.
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    Cited by:
    1. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.

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