Investor Sentiment and the Closed-End Fund Puzzle

作者: Andrei Shleifer , Charles M. C. Lee , Richard H. Thaler

DOI: 10.2307/2328690

关键词:

摘要: This paper examines the proposition that fluctuations in discounts of closed-end funds are driven by changes individual investor sentiment. The theory implies on various move together, new get started when seasoned sell at a premium or small discount, and correlated with prices other securities affected same evidence supports these predictions. In particular, we find both stocks tend to be held investors, narrow do well.

参考文章(24)
Thomas Russell, Richard Thaler, Decision Making: THE RELEVANCE OF QUASI RATIONALITY IN COMPETITIVE MARKETS The American Economic Review. ,vol. 75, pp. 508- 524 ,(1988) , 10.1017/CBO9780511598951.025
Robert W. Vishny, Andrei Shleifer, Equilibrium Short Horizons of Investors and Firms The American Economic Review. ,vol. 80, pp. 148- 153 ,(1990)
Sanford J. Grossman, Oliver D. Hart, Take-Over Bids, the Free Rider Problem and the Theory of the Corporation The Bell Journal of Economics and Management Science. ,vol. 11, pp. 42- 64 ,(1980) , 10.2307/3003400
John W. Peavy, Returns on Initial Public Offerings of Closed-End Funds Review of Financial Studies. ,vol. 3, pp. 695- 708 ,(1990) , 10.1093/RFS/3.4.695
James A. Brickley, James S. Schallheim, Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns Journal of Financial and Quantitative Analysis. ,vol. 20, pp. 107- 117 ,(1985) , 10.2307/2330680
Greggory A Brauer, Eric C Chang, Return Seasonality in Stocks and Their Underlying Assets: Tax-Loss Selling Versus Information Explanations Review of Financial Studies. ,vol. 3, pp. 255- 280 ,(1990) , 10.1093/RFS/3.2.255
Roger G. Ibbotson, Jody L. Sindelar, Jay R. Ritter, INITIAL PUBLIC OFFERINGS Journal of Applied Corporate Finance. ,vol. 1, pp. 37- 45 ,(1988) , 10.1111/J.1745-6622.1988.TB00164.X
Seth Copeland Anderson, Closed-end funds versus market efficiency The Journal of Portfolio Management. ,vol. 13, pp. 63- 65 ,(1986) , 10.3905/JPM.1986.409078