Managerial performance and the cross-sectional pricing of closed-end funds

This paper finds that discounts and premiums of closed-end funds reflect th e market's assessment of anticipated managerial performance. Using single a nd multiple bench-marks, we present evidence that there is a significant an d positive relation between stock fund premiums and future net asset value performance over the following year. The relation is not caused by the anti cipation of future expenses. We also find that bond closed-end funds show n o such relation between premium and asset value performance. (C) 1999 Elsev ier Science S.A. All rights reserved.