Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods
Compared to previous research, present work extends existing literature by considering if market performance, in Athens Stock Exchange, alternates the mean-reverting properties of Closed-end Funds’ discount and as a result affects potential realization of abnormal returns. Employing cointegration analysis, reported results indicate that, examining an equally weighted portfolio of funds, when market performance characterized as moderate, there is evidence suggesting market inefficiency while; during the recent turmoil period due to the credit crisis evidences do not indicate potential realization of abnormal returns. However, individual data examination gives mixed results.
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