| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 961596 | Journal of Financial Markets | 2012 | 18 Pages |
Abstract
⺠Examining all US closed-end funds, I find no evidence for arbitrage bounds. ⺠This contradicts Gemmill and Thomas (2002), who find such evidence for UK funds. ⺠In addition, noise-trader risk appears to be priced in US (whereas it is not in UK). ⺠To explain the differences, note that small investors dominate only US funds. ⺠The UK sample was also small and likely biased toward easy-to-arbitrage funds.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Sean Masaki Flynn,