Around‐the‐Clock Performance of Closed‐End Funds

Ben Branch, Aixin Ma and Jill Sawyer

Financial Management, 2010, vol. 39, issue 3, 1177-1196

Abstract: Herein, we find that the market price of closed‐end fund shares tends to increase (decrease) in anticipation of a rise (fall) in the net asset value (NAV). Similarly, an increase (decrease) in the reported NAV tends to be followed by a rise (fall) in the price of the fund's shares. Interestingly, we also find a powerful negative autocorrelation between closed‐end fund shares’ overnight and intraday returns in both univariate and multivariate tests for both the overall sample and a number of subsamples. We believe that this tendency results from the strategies that many specialists employ when they open their assigned shares.

Date: 2010
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