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

► Examining all US closed-end funds, I find no evidence for arbitrage bounds. ► This contradicts Gemmill and Thomas (2002), who find such evidence for UK funds. ► In addition, noise-trader risk appears to be priced in US (whereas it is not in UK). ► To explain the differences, note that small investors dominate only US funds. ► The UK sample was also small and likely biased toward easy-to-arbitrage funds.