Managerial performance and the cross-sectional pricing of closed-end funds

This paper finds that discounts and premiums of closed-end funds reflect the market's assessment of anticipated managerial performance. Using single and multiple bench-marks, we present evidence that there is a significant and positive relation between stock fund premiums and future net asset value performance over the following year. The relation is not caused by the anticipation of future expenses. We also find that bond closed-end funds show no such relation between premium and asset value performance. (C) 1999 Elsevier Science S.A. All rights reserved.