Canadian Investors and the Discount on Closed-End Funds

Mohamed Ayadi (), Hatem Ben-Ameur (), Skander Lazrak () and Yue Wang ()

Journal of Financial Services Research, 2013, vol. 43, issue 1, 69-98

Abstract: 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. Copyright Springer Science+Business Media, LLC 2013

Keywords: Closed-end funds; Investor sentiment; Cross-sectional regressions; G11; G12; G15 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10693-011-0125-8

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