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Are the Discounts on Closed-End Funds a Sentiment Index?

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  • Chen, Nai-fu
  • Kan, Raymond
  • Miller, Merton H

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  • 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.
  • Handle: RePEc:bla:jfinan:v:48:y:1993:i:2:p:795-800
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    Cited by:

    1. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
    2. Lenkey, Stephen L., 2015. "The closed-end fund puzzle: Management fees and private information," Journal of Financial Intermediation, Elsevier, vol. 24(1), pages 112-129.
    3. Frankel, Jeffrey A & Schmukler, Sergio L, 2000. "Country Funds and Asymmetric Information," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(3), pages 177-195, July.
    4. repec:wsi:rpbfmp:v:20:y:2017:i:02:n:s0219091517500102 is not listed on IDEAS
    5. Lily Qiu & Ivo Welch, 2004. "Investor Sentiment Measures," NBER Working Papers 10794, National Bureau of Economic Research, Inc.
    6. Deven Bathia & Don Bredin, 2013. "An examination of investor sentiment effect on G7 stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 909-937, October.
    7. Michael L. Lemmon & James S. Schallheim & Jaime F. Zender, 2000. "Do Incentives Matter? Managerial Contracts for Dual-Purpose Funds," Journal of Political Economy, University of Chicago Press, vol. 108(2), pages 273-299, April.
    8. Peter Klibanoff & Owen Lamont & Thierry A. Wizman, 1998. "Investor Reaction to Salient News in Closed-End Country Funds," Journal of Finance, American Finance Association, vol. 53(2), pages 673-699, April.
    9. Flynn, Sean Masaki, 2012. "Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds," Journal of Financial Markets, Elsevier, pages 108-125.
    10. Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013. "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 69-98, February.
    11. Prashant Das & Julia Freybote & Gianluca Marcato, 2015. "An Investigation into Sentiment-Induced Institutional Trading Behavior and Asset Pricing in the REIT Market," The Journal of Real Estate Finance and Economics, Springer, vol. 51(2), pages 160-189, August.
    12. Huerta, Daniel & Egly, Peter V. & Escobari, Diego, 2015. "The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility," MPRA Paper 68155, University Library of Munich, Germany.
    13. Flynn, Sean Masaki, 2004. "Arbitrage in Closed-end Funds: New Evidence," Vassar College Department of Economics Working Paper Series 57, Vassar College Department of Economics.
    14. Khuu, Joyce & Durand, Robert B. & Smales, Lee A., 2016. "Melancholia and Japanese stock returns – 2003 to 2012," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 424-437.
    15. Robert J. Shiller, 1999. "Measuring Bubble Expectations and Investor Confidence," Cowles Foundation Discussion Papers 1212, Cowles Foundation for Research in Economics, Yale University.
    16. Flynn, Sean M., 2005. "Sentiment and the Interpretation of News about Fundamentals," Vassar College Department of Economics Working Paper Series 72, Vassar College Department of Economics.
    17. Ming-Shiun Pan & Kam C. Chan & David J. Wright, 2001. "Divergent Expectations And The Asian Financial Crisis Of 1997," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 219-238, June.
    18. Iuliana Ismailescu & Ben Branch, 2010. "Managerial Performance and Closed‐End Country Fund Premiums: A Lead or Lag Relationship?," International Review of Finance, International Review of Finance Ltd., vol. 10(4), pages 433-453, December.
    19. Matthew Spiegel, 1998. "Closed-End Fund Discounts in a Rational Agent Economy," Yale School of Management Working Papers ysm80, Yale School of Management, revised 01 Aug 2000.
    20. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
    21. Dylan Thomas & Gordon Gemmill, 2002. "Noise Training, Costly Arbitrage and Asset Prices: evidence from closed-end funds," Working Papers wp02-09, Warwick Business School, Finance Group.
    22. Matthew Spiegel, 1997. "Closed-End Fund Discounts in a Rational Agent Economy," Finance 9712002, EconWPA.
    23. Pablo Calafiore & Gökçe Soydemir & Rahul Verma, 2010. "The Impact of Business and Consumer Sentiment on Stock Market Returns: Evidence from Brazil," Chapters,in: Handbook of Behavioral Finance, chapter 18 Edward Elgar Publishing.
    24. Han, Bin, 2004. "Limits of Arbitrage, Sentiment and Pricing Kernal: Evidences from Index Options," Working Paper Series 2004-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.

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