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Medientyp:
E-Artikel
Titel:
Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-End Funds
Beteiligte:
Gemmill, Gordon;
Thomas, Dylan C.
Erschienen:
Blackwell Publishers, 2002
Erschienen in:
The Journal of Finance, 57 (2002) 6, Seite 2571-2594
Sprache:
Englisch
ISSN:
0022-1082;
1540-6261
Entstehung:
Anmerkungen:
Beschreibung:
If arbitrage is costly and noise traders are active, asset prices may deviate from fundamental values for long periods of time. We use a sample of 158 closed-end funds to show that noise-trader sentiment, as proxied by retail-investor flows, leads to fluctuations in the discount. Nevertheless, we reject the hypothesis that noise-trader risk is the cause of the long-run discount. Instead we find that funds which are more difficult to arbitrage have larger discounts, due to: (1) the censoring of the discount by the arbitrage bounds, and (2) the freedom of managers to increase charges when arbitrage is costly.