Arbitrage in Closed-end Funds: New Evidence

Sean Flynn

No 57, Vassar College Department of Economics Working Paper Series from Vassar College Department of Economics

Abstract: Arbitrage pressures that could equalize closed-end fund share prices with fund portfolio values appear to be largely absent in an extensive data set. Observed fund behavior violates the static arbitrage bounds of Gemmill and Thomas (2002) and is inconsistent with the dynamic arbitrage bounds of Pontiff (1996). Furthermore, Fama and French (1992) regressions run on arbitrage portfolios designed to profit from closed-end fund mispricings generate excess returns that are either significantly negative or insignificantly different from zero, suggesting that arbitrageurs lack a profit incentive. If arbitrage is absent, observed fund pricing behavior likely reflects changing investor sentiment about fund prospects.

Date: 2004-01
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://irving.vassar.edu/VCEWP/VCEWP57.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://irving.vassar.edu/VCEWP/VCEWP57.pdf [302 Redirect]--> http://economics.vassar.edu/VCEWP/VCEWP57.pdf [301 Moved Permanently]--> https://www.vassar.edu/economics/VCEWP/VCEWP57.pdf)

Related works:
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:vas:papers:57

Access Statistics for this paper

More papers in Vassar College Department of Economics Working Paper Series from Vassar College Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sean Flynn ( this e-mail address is bad, please contact ).