Short selling and the pricing of closed-end funds

被引：3

作者：

Alexander, Gordon J. ^{[1
]}

Peterson, Mark A. ^{[2
]}

机构：

[1] Univ Minnesota, Carlson Sch Management, 321 19th Ave South, Minneapolis, MN 55455 USA

[2] Southern Illinois Univ, Coll Business, Mailcode 4626, Carbondale, IL 62901 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2017年 / 33卷

关键词：

Closed-end funds; Short selling; INVESTOR SENTIMENT; STOCK-MARKET; RETURNS; EQUILIBRIUM; ARBITRAGE;

D O I：

10.1016/j.finmar.2016.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We analyze how short selling affects the pricing of U.S. closed-end funds over the 2010-2015 time period. Significant short selling is found in both premium and discount funds and increases as premiums rise. Funds with greater short selling experience significant declines in premiums over the next five days. Our analysis speaks to theories of closed-end fund pricing and is consistent with the neoclassical theory of closed-end fund pricing as described by Ross (2002), Berk and Stanton (2007), and Cherkes, Sagi, and Stanton (2009). (c) 2016 Elsevier B.V. All rights reserved.

引用

页码：124 / 142

页数：19

共 50 条

[21] The Agency Effect of Repurchases on Closed-End Funds
An, Jingfeng
Gemmill, Gordon
Thomas, Dylan C.
EUROPEAN FINANCIAL MANAGEMENT, 2012, 18 (02) : 240 - 270
[22] Closed-end country funds and the role of exchange rates in pricing and in determination of premiums and discounts
Swanson, Peggy E.
Tsai, Pei-Jung
JOURNAL OF ECONOMICS AND BUSINESS, 2005, 57 (05) : 388 - 410
[23] Measuring performance of international closed-end funds
Patro, DK
JOURNAL OF BANKING & FINANCE, 2001, 25 (09) : 1741 - 1767
[24] Fund advisor compensation in closed-end funds
Coles, JL
Suay, J
Woodbury, D
JOURNAL OF FINANCE, 2000, 55 (03): : 1385 - 1414
[25] ARE THE DISCOUNTS ON CLOSED-END FUNDS A SENTIMENT INDEX
CHEN, NF
KAN, R
MILLER, MH
JOURNAL OF FINANCE, 1993, 48 (02): : 795 - 800
[26] On the dual characteristics of closed-end country funds
Lee, BS
Hong, G
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2002, 21 (05) : 589 - 618
[27] The impact of corporate governance on closed-end funds
Gemmill, Gordon
Thomas, Dylan C.
EUROPEAN FINANCIAL MANAGEMENT, 2006, 12 (05) : 725 - 746
[28] Canadian Investors and the Discount on Closed-End Funds
Mohamed A. Ayadi
Hatem Ben-Ameur
Skander Lazrak
Yue Wang
Journal of Financial Services Research, 2013, 43 : 69 - 98
[29] CLOSED-END FUNDS MAY BE OPENING UP
SNYDER, L
FORTUNE, 1978, 97 (03) : 137 - 138
[30] Canadian Investors and the Discount on Closed-End Funds
Ayadi, Mohamed A.
Ben-Ameur, Hatem
Lazrak, Skander
Wang, Yue
JOURNAL OF FINANCIAL SERVICES RESEARCH, 2013, 43 (01) : 69 - 98

← 1 2 3 4 5 →