Suchergebnisse

AbstractA trader‐identified transactions database is employed to investigate: (1) the relation between order‐flow imbalance and closed‐end fund share prices and discounts; and (2) the role of institutional investors in closed‐end funds. Empirical results are consistent with the hypothesis that buyers (sellers) of closed‐end funds face upward‐downward‐) sloping supply (demand) curves. The results also demonstrate that ownership statistics do not accurately reflect institutional investors' importance in the closed‐end fund market. The results fail to provide evidence that institutional investors offset the positions of individual investors or that institutional investors face systematic "noise trader risk."

AbstractWe examine the hypothesis that closed‐end fund shareholders garner greater returns than holders of the underlying assets as compensation for bearing "noise trader risk." We demonstrate that the returns on fund shares are more volatile and exhibit greater mean reversion than the returns on the underlying assets, consistent with the hypothesis that noise traders play a more active role in closed‐end fund shares than do the underlying assets. Inconsistent with the De Long et al. (1990) noise trader model, however, we find that after accounting for fund expenses, fund shareholders do not earn returns greater than holders of the underlying assets.JEL classification: G12

The financial system -- An overview of financial markets and institutions -- The federal reserve and its powers -- The fed and interest rates -- Bond prices and interest rate risk -- The structure of interest rates -- Financial markets -- Money markets -- Bond markets -- Mortgage markets -- Equity markets -- Derivatives markets -- International markets -- Commercial bank operations -- International banking -- Regulation of financial institutions -- Financial institutions -- Thrift institutions and finance companies -- Insurance companies and pension funds -- Investment banking -- Investment companies -- Risk management in financial institutions -- Glossary -- Credits and acknowledgments -- Index