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

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