CLOSED-END FUND PREMIA AND RETURNS - IMPLICATIONS FOR FINANCIAL MARKET EQUILIBRIUM

被引：66

作者：

PONTIFF, J

机构：

[1] University of Washington, Seattle

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1995年 / 37卷 / 03期

关键词：

CLOSED-END FUND; DISCOUNT; ABNORMAL RETURN; BOOK-TO-MARKET; MARKET EFFICIENCY;

D O I：

10.1016/0304-405X(94)00800-G

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the relation between closed-end fund premia and returns. Additional evidence is provided on Thompson's (1978) finding that fund premia are negatively correlated with future returns. Funds with 20% discounts have expected twelve-month returns that are 6% greater than nondiscounted funds. This correlation is attributed to premium mean-reversion, not to anticipated future portfolio performance. Economically motivated explanations do not account for this effect.

引用

收藏

页码：341 / 370

页数：30

相关论文

共 42 条

[1] ASSET PRICING AND THE BID ASK SPREAD [J].

AMIHUD, Y ;

MENDELSON, H .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 17 (02) :223-249

[2]

AMMER JM, 1990, GROUP DISCUSSION PAP, V108

[3] THE RELATIONSHIP BETWEEN RETURN AND MARKET VALUE OF COMMON-STOCKS [J].

BANZ, RW .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (01) :3-18

[4] PRIVATE BENEFITS FROM BLOCK OWNERSHIP AND DISCOUNTS ON CLOSED-END FUNDS [J].

BARCLAY, MJ ;

HOLDERNESS, CG ;

PONTIFF, J .

JOURNAL OF FINANCIAL ECONOMICS, 1993, 33 (03) :263-291

[5] DIVIDENDS, TAXES, AND COMMON-STOCK PRICES - THE EX-DIVIDEND DAY BEHAVIOR OF COMMON-STOCK PRICES BEFORE THE INCOME-TAX [J].

BARCLAY, MJ .

JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (01) :31-44

[6]

BARKER D, 1991, CROSS SECTIONAL VARI

[7] RETURN SEASONALITY IN STOCKS AND THEIR UNDERLYING ASSETS - TAX-LOSS SELLING VERSUS INFORMATION EXPLANATIONS [J].

BRAUER, GA ;

CHANG, EC .

REVIEW OF FINANCIAL STUDIES, 1990, 3 (02) :255-280

[8] THE TAX-TIMING OPTION AND THE DISCOUNTS ON CLOSED-END INVESTMENT COMPANIES [J].

BRICKLEY, J ;

MANASTER, S ;

SCHALLHEIM, J .

JOURNAL OF BUSINESS, 1991, 64 (03) :287-312

[9]

BRICKLEY J, 1990, J FINANCIAL QUANTITA, V20, P107

[10] STRUCTURAL AND RETURN CHARACTERISTICS OF SMALL AND LARGE FIRMS [J].

CHAN, KC ;

CHEN, NF .

JOURNAL OF FINANCE, 1991, 46 (04) :1467-1484

← 1 2 3 4 5 →