Identifying regime changes in closed-end fund discounts

被引:1
作者
Hughen J.C. [1 ]
Wohar M.E. [2 ]
机构
[1] Reiman School of Finance, Daniels College of Business, University of Denver, Denver
[2] Department of Economics, University of Nebraska-Omaha, RH 512K, Omaha
关键词
Structural Break; Trading Strategy; Excess Return; Individual Investor; Equity Fund;
D O I
10.1007/BF02834279
中图分类号
学科分类号
摘要
In seeming contradiction of the efficient markets hypothesis, closed-end fund shares typically trade at discounts to their portfolio values. We find that about half of these discounts are non-stationary. Focusing only on those funds that have stationary discounts, this study applies the Bai and Perron (1998, 2003a, b) methodology to test for structural breaks in the mean discounts. Virtually all have structural breaks, and our findings contradict previous studies that indicate closed- end fund discounts revert to a long-term mean value. The data indicate that closed-end fund trading strategies are more risky than they superficially appear. As structural breaks in mean discounts do not occur together, our analysis does not find support for a common factor (possibly investor sentiment) causing these breaks.
引用
收藏
页码:115 / 132
页数:17
相关论文
共 31 条
[1]  
Anderson S.C., Closed-End funds versus market efficiency, Journal of Portfolio Management, 13, pp. 50-55, (1986)
[2]  
Anderson S.C., Coleman B.J., Bom J.A., A closer look at trading strategies for U.S. equity closed-end investment companies, Financial Services Review, 10, pp. 237-248, (2001)
[3]  
Bai J., Perron P., Estimating and testing linear models with multiple structural changes, Econometrica, 66, pp. 47-68, (1998)
[4]  
Bai J., Perron P., Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, pp. 1-22, (2003)
[5]  
Bai J., Perron P., Critical values in multiple structural change tests, Econometrics Journal, 6, pp. 72-78, (2003)
[6]  
Bai J., Perron P., Multiple structural change models: A simulation study, Econometric Essays, (2004)
[7]  
Brauer G.A., Chang E.C., Return seasonality in stocks and their underlying assets: Tax-Loss selling versus information explanations, Review of Financial Studies, 3, pp. 255-280, (1990)
[8]  
Brown G.W., Volatility, sentiment, and noise traders, Financial Analysts Journal, 55, pp. 82-90, (1999)
[9]  
Brown G.W., Cliff M.T., Investor sentiment and the near-term stock market, Journal of Empirical Finance, 11, pp. 1-27, (2004)
[10]  
Cakici N., Tessitore A., Usmen N., Closed-End equity funds: Betting on discounts and premiums, Journal of Investing, 9, pp. 83-92, (2000)