Research on Determinants of Closed-end Funds Discounts in Chinese Security Market
This paper investigates determinants of closed-end funds discounts in Chinese security market. By constructing 14 arbitrage portfolios by sorting funds by discount level, we find excess returns not only for the three Fama and French risk factors but when a measure of average discount movements across all funds is included as well. Because the inclusion of this later variable soaks up volatility common to all funds, the observed inverse relationship between the magnitude of excess returns and the ability of these variables to explain overall volatility leads me to suspect that fund-specific risk factors exist which, were they measurable, would justify what otherwise appear to be excess returns. I propose that fund-specific noise-trader risk may be the missing factor.
Discount Closed-End Funds Noise-Trader Risk Three FF Factors
Jiang Jun Liu Shan-cun
School of Economics and Management, Beihang University, Beijing P.R.China, 100083
国际会议
天津
英文
2007-10-20（万方平台首次上网日期，不代表论文的发表时间）