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Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds

Citations

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Cited by:

  1. Jingfeng An & Gordon Gemmill & Dylan C. Thomas, 2012. "The Agency Effect of Repurchases on Closed†End Funds," European Financial Management, European Financial Management Association, vol. 18(2), pages 240-270, March.
  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. Fernando Chague & Bruno Giovannetti & Bernardo Guimaraes, 2021. "The Contrarian Put," Discussion Papers 2106, Centre for Macroeconomics (CFM).
  4. Rodolfo Apreda, 2003. "On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach)," CEMA Working Papers: Serie Documentos de Trabajo. 239, Universidad del CEMA.
  5. Sanning, Lee W. & Skiba, Alexandre & Skiba, Hilla, 2013. "Short sale restrictions, differences of opinion, and single-country, closed-end fund discount," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 44-50.
  6. Gordon Gemmill & Dylan C. Thomas, 2006. "The Impact of Corporate Governance on Closed‐end Funds," European Financial Management, European Financial Management Association, vol. 12(5), pages 725-746, November.
  7. Nai Jia Lee & Tien Foo Sing & Dinh Hoang Tran, 2013. "REIT Share Price and NAV Deviations: Noise or Sentiment?," International Real Estate Review, Global Social Science Institute, vol. 16(1), pages 28-47.
  8. Flynn, Sean Masaki, 2012. "Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds," Journal of Financial Markets, Elsevier, vol. 15(1), pages 108-125.
  9. Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
  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. Davies, Richard & Fletcher, Mary & Marshall, Andrew, 2013. "Investigating the role of illiquidity in explaining the UK closed-end country fund discount," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 121-130.
  13. Gordon Gemmill & Soosung Hwang & Mark Salmon, 2006. "Performance measurement with loss aversion," Journal of Asset Management, Palgrave Macmillan, vol. 7(3), pages 190-207, September.
  14. Kim, Youngsoo & Lee, Bong Soo, 2007. "Limited participation and the closed-end fund discount," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 381-399, February.
  15. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  16. Yongchun Ju & Linying Zhao, 2014. "Directors’ Ownership and Closed-End Fund Discounts," Journal of Financial Services Research, Springer;Western Finance Association, vol. 45(2), pages 241-269, April.
  17. 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.
  18. Atanda Mustapha Saidi, 2017. "Working Paper 273 - Stock (Mis)pricing and investment dynamics in Africa," Working Paper Series 2390, African Development Bank.
  19. Ahn, Jungkyu & Ahn, Yongkil, 2023. "What drives the TIPS–Treasury bond mispricing?," Journal of Empirical Finance, Elsevier, vol. 74(C).
  20. Mitchell, Mark & Pulvino, Todd, 2012. "Arbitrage crashes and the speed of capital," Journal of Financial Economics, Elsevier, vol. 104(3), pages 469-490.
  21. Kräussl, Roman & Pollet, Joshua & Stefanova, Denitsa, 2018. "Signaling or marketing? The role of discount control mechanisms in closed-end funds," CFS Working Paper Series 597, Center for Financial Studies (CFS).
  22. 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.
  23. Delcoure, Natalya & Zhong, Maosen, 2007. "On the premiums of iShares," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 168-195, March.
  24. Laurence Copeland, 2007. "Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed‐End Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 313-330, January.
  25. Durmaz, Nazif & Kim, Hyeongwoo & Lee, Hyejin & Sun, Yanfei, 2023. "Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts," MPRA Paper 117789, University Library of Munich, Germany.
  26. Halkos, George, 2005. "Determining empirically behavioral and fundamental factors of discounts on closed end funds," MPRA Paper 49280, University Library of Munich, Germany.
  27. Akbas, Ferhat & Boehmer, Ekkehart & Jiang, Chao & Koch, Paul D., 2022. "Overnight returns, daytime reversals, and future stock returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 850-875.
  28. Huang, Emily J., 2015. "The role of institutional investors and individual investors in financial markets: Evidence from closed-end funds," Review of Financial Economics, Elsevier, vol. 26(C), pages 1-11.
  29. Chan, Kalok & Kot, Hung Wan & Li, Desmond, 2008. "Portfolio concentration and closed-end fund discounts: Evidence from the China market," Emerging Markets Review, Elsevier, vol. 9(2), pages 129-143, June.
  30. Pablo Calafiore & Gökçe Soydemir & Rahul Verma, 2010. "The Impact of Business and Consumer Sentiment on Stock Market Returns: Evidence from Brazil," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 18, Edward Elgar Publishing.
  31. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February.
  32. Jonathan Berk & Richard Stanton, 2004. "A Rational Model of the Closed-End Fund Discount," NBER Working Papers 10412, National Bureau of Economic Research, Inc.
  33. Tsai, Pei-Jung, 2009. "International equity flows and country funds," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 862-894, December.
  34. Christos Alexakis & Emmanouil Mavrakis, 2010. "Is Moderate Market Performance in the U.S. a Sufficient Condition for Abnormal Returns on CEFs?," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(1), pages 80-95, February.
  35. Kryzanowski, Lawrence & Mohebshahedin, Mahmood, 2016. "Board governance, monetary interest, and closed-end fund performance," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 196-217.
  36. Ahmed Ibrahim Mokhtar, 2016. "An Empirical Examination of the Behavioral CAPM," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-2.
  37. Bredin, Don & Cuthbertson, Keith & Nitzsche, Dirk & Thomas, Dylan C., 2014. "Performance and performance persistence of UK closed-end equity funds," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 189-199.
  38. David Colwell & Julia Henker & Terry Walter, 2008. "Effect of Investor Category Trading Imbalances on Stock Returns," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 179-206, September.
  39. George Emm Halkos & Theodore Krintas, 2006. "Behavioural and fundamental explanations of discounts on closed end funds: an empirical analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 395-404.
  40. Warren Bailey & Lin Zheng & Yinggang Zhou, 2012. "What Makes the VIX Tick?," Working Papers 222012, Hong Kong Institute for Monetary Research.
  41. Sebastian Schnejdar & Michael Heinrich & René-Ojas Woltering & Steffen Sebastian, 2020. "The Discount to NAV of Distressed Open-End Real Estate Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 80-114, June.
  42. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.
  43. Liang Ma, 2024. "What drives closed‐end fund discounts? Evidence from COVID‐19," Financial Management, Financial Management Association International, vol. 53(1), pages 119-143, March.
  44. Reyes, Tomas, 2018. "Limited attention and M&A announcements," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 201-222.
  45. Lin, Chu-Bin & Chou, Robin K. & Wang, George H.K., 2018. "Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 17-31.
  46. Sebastian Schnejdar & Michael Heinrich & René-Ojas Woltering & Steffen Sebastian, 2017. "The Discount to NAV of distressed German open-ended real estate funds," ERES eres2017_160, European Real Estate Society (ERES).
  47. Yıldırım-Karaman, Seçil, 2018. "Uncertainty in financial markets and business cycles," Economic Modelling, Elsevier, vol. 68(C), pages 329-339.
  48. repec:kap:iaecre:v:16:y:2010:i:1:p:80-95 is not listed on IDEAS
  49. Verma, Rahul & Soydemir, Gökçe, 2009. "The impact of individual and institutional investor sentiment on the market price of risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1129-1145, August.
  50. 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.
  51. Emily J. Huang, 2015. "The role of institutional investors and individual investors in financial markets: Evidence from closed‐end funds," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 1-11, September.
  52. 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.
  53. Tsai, Pei-Jung, 2010. "Country funds and the role of international equity flows in pricing and in premiums and discounts," Global Finance Journal, Elsevier, vol. 21(1), pages 43-70.
  54. Bertone, Stephen & Paeglis, Imants & Ravi, Rahul, 2015. "(How) has the market become more efficient?," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 72-86.
  55. Armitage, Seth & Chakravarty, Shanti P. & Hodgkinson, Lynn & Wells, Jo, 2012. "Are there arbitrage gaps in the UK gilt strips market?," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3080-3090.
  56. Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, vol. 11(4), pages 377-399, November.
  57. Flynn, Sean M., 2005. "Closed-end Fund Discounts and Interest Rates: Positive Covariance in US Data after 1985," Vassar College Department of Economics Working Paper Series 73, Vassar College Department of Economics.
  58. Fernandes, Leonardo H.S. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2021. "Insights from the (in)efficiency of Chinese sectoral indices during COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
  59. Karan Bhanot & Valeria Martinez & Lalatendu Misra & Jullavut Kittiakaraskun & Sinan Yildirim, 2008. "The behavior of discounts of closed-end funds undergoing open-ending," Working Papers 0092, College of Business, University of Texas at San Antonio.
  60. Wermers, Russ & Wu, Youchang & Zechner, Josef, 2006. "Portfolio performance, discount dynamics, and the turnover of closed-end fund managers," CFR Working Papers 06-12, University of Cologne, Centre for Financial Research (CFR).
  61. Alexander, Gordon J. & Peterson, Mark A., 2017. "Short selling and the pricing of closed-end funds," Journal of Financial Markets, Elsevier, vol. 33(C), pages 124-142.
  62. Bradley, Michael & Brav, Alon & Goldstein, Itay & Jiang, Wei, 2010. "Activist arbitrage: A study of open-ending attempts of closed-end funds," Journal of Financial Economics, Elsevier, vol. 95(1), pages 1-19, January.
  63. Emmanouil Mavrakis, 2011. "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 55-70.
  64. Stylianos X. Koufadakis, 2016. "Mispricing Explanations of Closed-End Funds: A Survey Review," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(1-2), pages 108-135, January-J.
  65. Gabriel Frahm & Alexander Jonen & Rainer Schüssler, 2019. "The Fundamental Theorems Of Asset Pricing And The Closed-End Fund Puzzle," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-31, August.
  66. Dilip Patro & Louis R. Piccotti & Yangru Wu, 2017. "Exploiting Closed-End Fund Discounts: A Systematic Examination Of Alphas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(2), pages 223-248, June.
  67. Xinyi Guo & Jinfeng Li, 2020. "A Novel Twitter Sentiment Analysis Model with Baseline Correlation for Financial Market Prediction with Improved Efficiency," Papers 2003.08137, arXiv.org, revised Apr 2020.
  68. Tarun Ramadorai, 2012. "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, vol. 67(2), pages 479-512, April.
  69. Brownen-Trinh, Ruby & Orujov, Ayan, 2023. "Corporate socio-political activism and retail investors: Evidence from the Black Lives Matter campaign," Journal of Corporate Finance, Elsevier, vol. 80(C).
  70. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.
  71. Nazif Durmaz & Hyeongwoo Kim & Hyejin Lee & Yanfei Sun, 2023. "Trend Breaks and the Persistence of Closed-End Fund Discounts," Auburn Economics Working Paper Series auwp2023-08, Department of Economics, Auburn University.
  72. J. Hughen & Mark Wohar, 2006. "Identifying regime changes in closed-end fund discounts," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(1), pages 115-132, March.
  73. Fuertes, Ana-Maria & Thomas, Dylan C., 2006. "Large market shocks and abnormal closed-end-fund price behaviour," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2517-2535, September.
  74. Johnson, Shane A. & Lin, Ji-Chai & Roy Song, Kyojik, 2006. "Dividend policy, signaling, and discounts on closed-end funds," Journal of Financial Economics, Elsevier, vol. 81(3), pages 539-562, September.
  75. Michael Firth & Kailong (Philip) Wang & Sonia ML Wong, 2015. "Corporate Transparency and the Impact of Investor Sentiment on Stock Prices," Management Science, INFORMS, vol. 61(7), pages 1630-1647, July.
  76. Godfrey, Keith R.L., 2017. "Toward a model-free measure of market efficiency," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 97-112.
  77. Jay Wang, Z. & Nanda, Vikram, 2011. "Payout policies and closed-end fund discounts: Signaling, agency costs, and the role of institutional investors," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 589-619, October.
  78. Jullavut Kittiakarasakun & Lalatendu Misra & Sinan Yildirim, 2018. "An analysis of closed-end funds discounts viewed from a lack of redemption perspective," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 415-440, February.
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