Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds |
| |
Authors: | Sean Masaki Flynn |
| |
Institution: | Department of Economics, Scripps College, 1030 Columbia Avenue #4074, Claremont, CA 91711, United States |
| |
Abstract: | The behavior of US closed-end funds is very different from that of UK funds. There is no evidence that the US funds' 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. |
| |
Keywords: | G14 G12 |
本文献已被 ScienceDirect 等数据库收录! |
|