Around-the-Clock Performance of Closed-End Funds |
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| Authors: | Ben Branch Aixin Ma Jill Sawyer |
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| Institution: | 1. Ben Branch is a Professor of Finance in the Isenberg School of Management at the University of Massachusetts Amherst in Amherst, MA.;2. Aixin Ma is an Assistant Professor of Finance in the Meinders School of Business at Oklahoma City University in Oklahoma City, OK.;3. Jill Sawyer is a COML Financial Analyst II in the Corporate Banking Group at Sovereign Bank, 75 State Street in Boston, MA. |
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| Abstract: | 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. |
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