Investor reaction to salient news in closed-end country funds

• 成果类型: Article
• 署名作者: Klibanoff, P; Lamont, O; Wizman, TA
• 署名单位: Northwestern University; University of Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.265570
• 发表日期: 1998
• 页码: 673-699
• 关键词: stock-prices; MARKET; Sentiment; INFORMATION; options

摘要

We use panel data on prices and net asset values to test whether dramatic country-specific news affects the response of closed-end country fund prices to asset value. In a typical week, prices underreact to changes in fundamentals; the (short-run) elasticity of price with respect to asset value is significantly less than one. In weeks with news appearing on the front page of The New York Times, prices react much more; the elasticity of price with respect to asset value is closer to one. These results are consistent with the hypothesis that news events lead some investors to react more quickly.