Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds

Sean Flynn

Journal of Financial Markets, 2012, vol. 15, issue 1, 108-125

Abstract: The behavior of US closed-end funds is very different from that of UK funds. There is no evidence that the US funds' discounts are constrained by arbitrage barriers, no evidence that higher expenses increase discounts and no evidence that replication risk increases discounts but strong evidence that noise-trader risk is priced. The differences between US and UK funds may be due to the fact that small investors dominate US funds while institutional investors dominate UK funds, or because the sample selection method for the UK funds chooses only funds that are relatively easy to arbitrage.

Keywords: Closed-end funds; Noise-trader risk; Arbitrage (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:15:y:2012:i:1:p:108-125

DOI: 10.1016/j.finmar.2011.06.001

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