Investor Sentiment and the Closed-End Fund Puzzle
Charles Lee,
Andrei Shleifer and
Richard Thaler
No 3465, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.
Date: 1990-10
Note: ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)
Published as Journal of Finance, March 1991. Reprinted in R. Thaler, ed., Quasi-Rational Econmics, Russell Sage Foudation 1991.
Downloads: (external link)
http://www.nber.org/papers/w3465.pdf (application/pdf)
Related works:
Journal Article: Investor Sentiment and the Closed-End Fund Puzzle (1991) 
Working Paper: Investor Sentiment and the Closed-End Fund Puzzle (1991) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:3465
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3465
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().