Investor Sentiment and the Closed-End Fund Puzzle

Charles Lee, Andrei Shleifer and Richard Thaler

Journal of Finance, 1991, vol. 46, issue 1, 75-109

Abstract: This paper examines the proposition that fluctuations in discounts of closed-end funds are driven by changes in individual investor sentiment. The theory implies that discounts on various funds move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts are correlated with prices of other securities affected by the same investor sentiment. The evidence supports these predictions. In particular, the authors find that both closed-end funds and small stocks tend to be held by individual investors, and that the discounts on closed-end funds narrow when small stocks do well. Copyright 1991 by American Finance Association.

Date: 1991
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Related works:
Working Paper: Investor Sentiment and the Closed-End Fund Puzzle (1991)
Working Paper: Investor Sentiment and the Closed-End Fund Puzzle (1990)
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