Noise trading, costly arbitrage, and asset prices: Evidence from closed-end funds

• 成果类型: Article
• 署名作者: Gemmill, G; Thomas, DC
• 署名单位: City St Georges, University of London
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00506
• 发表日期: 2002
• 页码: 2571-2594
• 关键词: ABNORMAL RETURNS; discounts; performance; Sentiment; ipos

摘要

If arbitrage is costly and noise traders are active, asset prices may deviate from fundamental values for long periods of time. We use a sample of 158 closed-end funds to show that noise-trader sentiment, as proxied by retail-investor flows, leads to fluctuations in the discount. Nevertheless, we reject the hypothesis that noise-trader risk is the cause of the long-run discount. Instead we find that funds which are more difficult to arbitrage have larger discounts, due to: (1) the censoring of the discount by the arbitrage bounds, and (2) the freedom of managers to increase charges. when arbitrage is costly.