Canadian Investors and the Discount on Closed-End Funds

被引：0
|
作者：
Mohamed A. Ayadi
Hatem Ben-Ameur
Skander Lazrak
Yue Wang
机构：
[1] Brock University,Department of Finance, Operations, and Information Systems, Faculty of Business
[2] King Abdulaziz University,Department of Finance
[3] HEC Montreal,Department of Management Sciences
[4] State University of New York at Buffalo,undefined
来源：
Journal of Financial Services Research | 2013年 / 43卷
关键词：
Closed-end funds; Investor sentiment; Cross-sectional regressions; G11; G12; G15;
D O I：
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中图分类号：
学科分类号：
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.
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页码：69 / 98
页数：29
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