An Empirical Study on Closed-End Fund Discounts in China: On a framework of Investors’ Sentiment Indez

摘要：

The closed-end funds discount provides a startling counter example to the well-known efficient market hypothesis. Based on the framework of liquidity-investor sentiment of Baker & Stein (2004), the paper brings forward a model about the relation between sentiment and difference of discounts. The empirical results from panel data and cross-sectional data strongly support the hypothesis: funds with higher sentiment as measured by proxies for liquidity have higher premia (or lower discounts) than funds with lower sentiment. It finds that the cross-sectional difference of closed-end funds discounts is due to the sentiment attached.

关键词： Closed-end Funds Discounts Behavior Finance Sentiment

作者: WANG Kaitao

作者单位: Economics and Management School, Wuhan University, Wuhan, P.R.China, 430072

会议类型: 国际会议

会议名称: 2009 International Institute of Applied Statistics Studies(2009 国际应用统计学术研讨会)

会议地点: 青岛

会议语种:英文

页码: 1-5

在线出版日期: 2009-07-25（万方平台首次上网日期，不代表论文的发表时间）