Noise-trading, Costly Arbitrage, and Asset Prices: Evidence from US Closed-end Funds
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.
|Date of creation:||Sep 2005|
|Date of revision:|
|Contact details of provider:|| Postal: Maildrop 708, 124 Raymond Avenue, Poughkeepsie NY 12604-0708|
Web page: http://irving.vassar.edu/VCEWP/VCEWP.htm
More information through EDIRC
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.:
- 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.
- 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.
- 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.
- Boudreaux, Kenneth J, 1973. "Discounts and Premiums on Closed-End Mutual Funds: A Study in Valuation," Journal of Finance, American Finance Association, vol. 28(2), pages 515-22, May.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, .
"Noise Trader Risk in Financial Markets,"
J. Bradford De Long's Working Papers
_124, University of California at Berkeley, Economics Department.
- 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, vol. 20(01), pages 107-117, March.
- Chopra, Navin, et al, 1993. " Yes, Discounts on Closed-End Funds Are a Sentiment Index," Journal of Finance, American Finance Association, vol. 48(2), pages 801-808, June.
- Steven A. Ross, 2002. "Neoclassical Finance, Alternative Finance and the Closed End Fund Puzzle," European Financial Management, European Financial Management Association, vol. 8(2), pages 129-137.
- Peavy, John W, III, 1990. "Returns on Initial Public Offerings of Closed-End Funds," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 695-708.
- Brauer, Greggory A., 1984. "`Open-ending' closed-end funds," Journal of Financial Economics, Elsevier, vol. 13(4), pages 491-507, December.
- Pontiff, Jeffrey, 1997. "Excess Volatility and Closed-End Funds," American Economic Review, American Economic Association, vol. 87(1), pages 155-69, March.
- Thompson, Rex, 1978. "The information content of discounts and premiums on closed-end fund shares," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 151-186.
- Gordon Gemmill & Dylan C. Thomas, 2002. "Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-end Funds," Journal of Finance, American Finance Association, vol. 57(6), pages 2571-2594, December.
- 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.
- Zweig, Martin E, 1973. "An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums," Journal of Finance, American Finance Association, vol. 28(1), pages 67-78, March.
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)
If references are entirely missing, you can add them using this form.