Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond Funds
Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond Funds
复制标题
情绪能否解释封闭式基金折扣？
DOI：
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发表时间：
1993
期刊：
影响因子：
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通讯作者：
A. Marcus
中科院分区：
文献类型：
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作者：
A. Abraham;Don Elan;A. Marcus
本文证明了封闭式债券基金的折价和溢价与股票基金的折价一样，对广义市场收益率具有同样的敏感性。尽管如此，股票型基金的平均售价仍低于资产净值，而债券型基金的售价则略高于资产净值。这一模式对贴现率的平均水平可以通过诉诸贴现风险的系统性而合理化的结论提出了质疑。这些结果表明，呼吁投资者的情绪，这已被假设为基金折扣的来源，并没有完全解决封闭式基金折扣之谜。版权所有1993年由麻省理工学院出版社。
This paper documents that discounts and premia on closed-end bond funds exhibit the same sensitivity to broad market returns as stock fund discounts. Despite this, stock funds sell on average at discounts from net asset value while bond funds sell at small premia. This pattern calls into question the conclusion that the average level of the discount rate can be rationalized by appealing to the systematic nature of discount risk. These results indicate that appeals to investor sentiment, which have been hypothesized as a source of fund discounts, do not fully resolve the puzzle of closed-end fund discounts. Copyright 1993 by MIT Press.