A Rational Model of the Closed-End Fund Discount

Preprint OPEN
Jonathan Berk; Richard Stanton;
  • Subject:
    • jel: jel:G14

The discount on closed-end funds is widely accepted as proof of investor irrationality. We show,however, that a parsimonious rational model can generate a discount that exhibits many of the characteristics observed in practice. The only required features of the model ar... View more
  • References (17)
    17 references, page 1 of 2

    Adams, A. T., 2000, Excess volatility and investment trusts, Working paper, University of Edinburgh.

    Anderson, S. C., 1986, Closed-end funds versus market efficiency, Journal of Portfolio Management Fall, 63-67.

    Anderson, S. C., and J. A. Born, 2002, Closed-End Fund Pricing (Kluwer, Boston, MA).

    Berk, J. B., and R. C. Green, 2002, Mutual fund flows and performance in rational markets, Working Paper 9275, NBER.

    Brauer, G. A., 1984, Open-ending closed-end funds, Journal of Financial Economics 13, 491-507.

    Brauer, G. A., 1988, Closed-end fund shares' abnormal returns and the information content of discounts and premiums, Journal of Finance 43, 113-128.

    Brickley, J. A., S. Manaster, and J. S. Schallheim, 1991, The tax-timing option and the discounts on closed-end investment companies, Journal of Business 64, 287-312.

    Brickley, J. A., and J. S. Schallheim, 1985, Lifting the lid on closed-end investment companies: A case of abnormal returns, Journal of Financial and Quantitative Analysis 20, 107-117.

    Brown, C., 1998, Discounts: Theory and evidence, investment trusts, Technical report, Cazenove and Co.

    Chay, J. B., and C. A. Trzcinka, 1999, Managerial performance and the cross-sectional pricing of closed-end funds, Journal of Financial Economics 52, 379-408.

  • Metrics
Share - Bookmark