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Around-the-Clock Performance of Closed-End Funds


  • Ben Branch
  • Aixin Ma
  • Jill Sawyer


"Herein, we find that the market price of closed-end fund shares tends to increase (decrease) in anticipation of a rise (fall) in the net asset value (NAV). Similarly, an increase (decrease) in the reported NAV tends to be followed by a rise (fall) in the price of the fund's shares. Interestingly, we also find a powerful negative autocorrelation between closed-end fund shares' overnight and intraday returns in both univariate and multivariate tests for both the overall sample and a number of subsamples. We believe that this tendency results from the strategies that many specialists employ when they open their assigned shares." Copyright (c) 2010 Financial Management Association International.

Suggested Citation

  • Ben Branch & Aixin Ma & Jill Sawyer, 2010. "Around-the-Clock Performance of Closed-End Funds," Financial Management, Financial Management Association International, vol. 39(3), pages 1177-1196, September.
  • Handle: RePEc:bla:finmgt:v:39:y:2010:i:3:p:1177-1196

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