Kousenidis, Dimitrios V
[Verfasser:in]
;
Maditinos, Dimitrios I.
[Sonstige Person, Familie und Körperschaft];
Šević, Željko
[Sonstige Person, Familie und Körperschaft]
The Premium/Discount of Closed-End Funds as a Measure of Investor Sentiment
Anmerkungen:
In: Journal of Applied Business Research, Volume 27(4), 2011, pp. 29-51
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July/August 2011 erstellt
Beschreibung:
We examine the proposition that the premium/discount (PD) of Greek closed-end funds (CEFs) is an accurate proxy for the small-investor sentiment risk. We find that the average PD explains the returns of portfolios of large capitalization and low book-to-market ratio stocks. In this context, we are unable to confirm a link between the perceived PD anomaly and the small size effect. Moreover, we show that the explanatory power of the PD for portfolio returns depends on the form of the asset pricing model used in the regression analysis. Finally, in terms of predictive ability, we find evidence that the PD predicts the size and the book-to-market premiums but little evidence that the PD predicts individual portfolio returns