Canadian Investors and the Discount on Closed-End Funds

被引：2

作者：

Ayadi, Mohamed A. ^{[1
,2
]}

Ben-Ameur, Hatem ^{[3
]}

Lazrak, Skander ^{[1
]}

Wang, Yue ^{[4
]}

机构：

[1] Brock Univ, Fac Business, Dept Finance Operat & Informat Syst, St Catharines, ON L2S 3A1, Canada

[2] King Abdulaziz Univ, Dept Finance, Jeddah 21413, Saudi Arabia

[3] HEC Montreal, Dept Management Sci, Montreal, PQ, Canada

[4] SUNY Buffalo, Buffalo, NY 14260 USA

来源：

JOURNAL OF FINANCIAL SERVICES RESEARCH | 2013年 / 43卷 / 01期

关键词：

Closed-end funds; Investor sentiment; Cross-sectional regressions; BID-ASK SPREAD; CROSS-SECTION; STOCK RETURNS; INSTITUTIONAL INVESTORS; COSTLY ARBITRAGE; RISK-FACTORS; SENTIMENT; MOMENTUM; MARKET; NOISE;

D O I：

10.1007/s10693-011-0125-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We explore the role of the discount on closed-end funds (CEFD) in asset pricing and test its validity as a proxy for investor sentiment in the Canadian stock market. Results show that CEFD is not a priced factor. Both cross-sectional and time-series tests confirm that stocks with different exposures to CEFD do not have significantly different average returns. CEFD does not even provide incremental explanatory power after controlling for firm characteristics and risk factors. Furthermore, CEFD fails to be a proxy for investor sentiment with no correlation to either the consumer confidence index or flows to open-ended funds.

引用

页码：69 / 98

页数：30

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