Pay-Performance Sensitivity and Risk-Taking Behaviors: Evidence from Closed-End Funds

Arbitrage in Closed-end Funds: New Evidence

Arbitrage pressures that could equalize closed-end fund share prices with fund portfolio values appear to be largely absent in an extensive data set. Observed fund behavior violates the static arbitrage bounds of Gemmill & Thomas (2002) and is inconsistent with the dynamic arbitrage bounds of Pontiff (1996). Furthermore, Fama & French (1992) regressions run on arbitrage portfolios designed to p...

Compensation Incentives and Risk Taking Behavior: Evidence from Mutual Funds

This paper examines the role of compensation contracts in determining risk taking decisions by money managers in the nancial industry. A methodology is developed for empirically testing and assessing the magnitude of the e ect that incentive contracts have on risk taking in the mutual fund industry using panel data. The methodology exploits the withinyear cross sectional variation in the perfor...

Running head: ANXIETY SENSITIVTY AND RISK-TAKING BEHAVIORS Dowd 1 Anxiety Sensitivity and Risk-Taking Behaviors

The Post-Offering Price Performance of Closed-End Funds

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Costly Arbitrage and Asset Mispricing: Causal Evidence from Closed-End Funds

We examine how short sale constraints on portfolio holdings affect closed-end fund (CEF) discounts and thereby provide evidence on the causal effect of limits to arbitrage on asset mispricing. Using Regulation SHO as a natural experiment that relaxes shortsale constraints on pilot stocks, we find that discounts of CEFs holding more pilot stocks decrease relative to CEFs holding fewer pilot stoc...