Excess volatility and closed‐end fund discounts
نویسندگان
چکیده
منابع مشابه
Volume, Volatility, and Country-Fund Discounts: The Effects of Asymmetric Investor Risks
Existing studies of country funds utilize return measures and do not consider the effects of investor risk specifically. We examine the time-varying asymmetric investor risk hypothesis for country fund premiums and find that volume and volatility in both the U.S. and foreign markets are generally important. While the U.S. volume and volatility are more important than similar foreign variables o...
متن کاملClosed-end Fund Discounts and Interest Rates:
Previous papers find no relationship between interest rates and the discounts of US closed-end funds before 1985. This is taken as evidence against management fees being a cause of discounts because a negative relationship is expected: if interest rates rise, you would expect to see discounts fall as the present value of future fees is reduced. But from 1985 forward, there has been a strong pos...
متن کاملLearning and Excess Volatility
We introduce adaptive learning behavior into a general equilibrium lifecycle economy with capital accumulation. Agents form forecasts of the rate of return to capital assets using least squares autoregressions on past data. We show that, in contrast to the perfect foresight dynamics, the dynamical system under learning possesses equilibria characterized by persistent excess volatility in return...
متن کاملClosed-end Fund Discounts and Individual Investor Trading
This paper investigates the individual investor trading in both closed-end funds and individual stocks. By examining the short-horizon dynamic relation between net individual investor trading of closed-end funds and the fund discounts, we find evidence consistent with the notion that both the level and the changes in close-end fund discounts are good proxies for individual investor sentiment. U...
متن کاملThe Persistence and Predictability of Closed-End Fund Discounts
It is well-known that the level of closed-end fund discounts appears to predict the corresponding fund’s future returns. We further document that such predictability decays slowly. The popular explanations, including the tax effect, investor sentiment risk, and the funds’s dividend yield, do not fully account for the observed predictability. At the same time, discounts are very persistent espec...
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ژورنال
عنوان ژورنال: Review of Accounting and Finance
سال: 2013
ISSN: 1475-7702
DOI: 10.1108/14757701311327713