CLOSED-END FUND PREMIA AND RETURNS - IMPLICATIONS FOR FINANCIAL MARKET EQUILIBRIUM

Authors
PONTIFF J
Citation
J. Pontiff, CLOSED-END FUND PREMIA AND RETURNS - IMPLICATIONS FOR FINANCIAL MARKET EQUILIBRIUM, Journal of financial economics, 37(3), 1995, pp. 341-370
Citations number
42
Categorie Soggetti
Economics,"Business Finance
Journal title
Journal of financial economics → ACNP
ISSN journal
0304405X
Volume
37
Issue
3
Year of publication
1995
Pages
341 - 370
Database
ISI
SICI code
0304-405X(1995)37:3<341:CFPAR->2.0.ZU;2-K
Abstract
This paper examines the relation between closed-end fund premia and re turns. Additional evidence is provided on Thompson's (1978) finding th at fund premia are negatively correlated with future returns. Funds wi th 20% discounts have expected twelve-month returns that are 6% greate r than nondiscounted funds. This correlation is attributed to premium mean-reversion, not to anticipated future portfolio performance. Econo mically motivated explanations do not account for this effect.