IDEAS home Printed from https://ideas.repec.org/a/bla/finmgt/v39y2010i3p1177-1196.html
   My bibliography  Save this article

Around‐the‐Clock Performance of Closed‐End Funds

Author

Listed:
  • Ben Branch
  • Aixin Ma
  • Jill Sawyer

Abstract

Herein, we find that the market price of closed‐end fund shares tends to increase (decrease) in anticipation of a rise (fall) in the net asset value (NAV). Similarly, an increase (decrease) in the reported NAV tends to be followed by a rise (fall) in the price of the fund's shares. Interestingly, we also find a powerful negative autocorrelation between closed‐end fund shares’ overnight and intraday returns in both univariate and multivariate tests for both the overall sample and a number of subsamples. We believe that this tendency results from the strategies that many specialists employ when they open their assigned shares.

Suggested Citation

  • Ben Branch & Aixin Ma & Jill Sawyer, 2010. "Around‐the‐Clock Performance of Closed‐End Funds," Financial Management, Financial Management Association International, vol. 39(3), pages 1177-1196, September.
    • Handle: RePEc:bla:finmgt:v:39:y:2010:i:3:p:1177-1196
    DOI: 10.1111/j.1755-053X.2010.01108.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1755-053X.2010.01108.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1755-053X.2010.01108.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Christopher Ting, 2006. "Which Daily Price is Less Noisy?," Financial Management, Financial Management Association International, vol. 35(3), pages 81-95, September.
    2. Chen, Nai-fu & Kan, Raymond & Miller, Merton H, 1993. "Are the Discounts on Closed-End Funds a Sentiment Index?," Journal of Finance, American Finance Association, vol. 48(2), pages 795-800, June.
    3. Lee, Charles M C & Shleifer, Andrei & Thaler, Richard H, 1991. "Investor Sentiment and the Closed-End Fund Puzzle," Journal of Finance, American Finance Association, vol. 46(1), pages 75-109, March.
    4. Michael J. Barclay, 2003. "Price Discovery and Trading After Hours," The Review of Financial Studies, Society for Financial Studies, vol. 16(4), pages 1041-1073.
    5. Anderson, Seth C. & Coleman, B. Jay & Born, Jeffery A., 2001. "A closer look at trading strategies for U.S. equity closed-end investment companies," Financial Services Review, Elsevier, vol. 10(1-4), pages 237-248.
    6. Malkiel, Burton G, 1977. "The Valuation of Closed-End Investment-Company Shares," Journal of Finance, American Finance Association, vol. 32(3), pages 847-859, June.
    7. Thompson, Rex, 1978. "The information content of discounts and premiums on closed-end fund shares," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 151-186.
    8. J. Christopher Hughen & Cynthia G. McDonald, 2006. "Does Order Flow Commonality Extend Across Trade Sizes and Securities?," Financial Management, Financial Management Association, vol. 35(1), Spring.
    9. J. Christopher Hughen & Cynthia G. McDonald, 2006. "Does Order Flow Commonality Extend Across Trade Sizes and Securities?," Financial Management, Financial Management Association International, vol. 35(1), pages 107-128, March.
    10. Jeffrey Pontiff, 1996. "Costly Arbitrage: Evidence from Closed-End Funds," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 111(4), pages 1135-1151.
    11. Christopher Ting, 2006. "Which Daily Price is Less Noisy?," Financial Management, Financial Management Association, vol. 35(3), Autumn.
    12. Barclay, Michael J. & Holderness, Clifford G. & Pontiff, Jeffrey, 1993. "Private benefits from block ownership and discounts on closed-end funds," Journal of Financial Economics, Elsevier, vol. 33(3), pages 263-291, June.
    13. Grullon, Gustavo & Albert Wang, F., 2001. "Closed-End Fund Discounts with Informed Ownership Differential," Journal of Financial Intermediation, Elsevier, vol. 10(2), pages 171-205, April.
    14. Marc Simpson & Sanjay Ramchander, 2002. "Is differential sentiment a cause of closed-end country fund premia? An empirical examination of the Australian case," Applied Economics Letters, Taylor & Francis Journals, vol. 9(9), pages 615-619.
    15. Roll, Richard, 1984. "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, American Finance Association, vol. 39(4), pages 1127-1139, September.
    16. Martina Bers & Jeff Madura, 2000. "Why Does Performance Persistence Vary Among Closed-End Funds?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 17(2), pages 127-147, August.
    17. Seyhun, H Nejat & Skinner, Douglas J, 1994. "How Do Taxes Affect Investors' Stock Market Realizations? Evidence from Tax-Return Panel Data," The Journal of Business, University of Chicago Press, vol. 67(2), pages 231-262, April.
    18. Chen, Nai-fu & Kan, Raymond & Miller, Merton H, 1993. "Are the Discounts on Closed-End Funds a Sentiment Index? A Rejoinder," Journal of Finance, American Finance Association, vol. 48(2), pages 809-810, June.
    19. Bers, Martina K & Madura, Jeff, 2000. "The Performance Persistence of Closed-End Funds," The Financial Review, Eastern Finance Association, vol. 35(3), pages 33-51, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Laurence E. Blose & Vijay Gondhalekar & Alan Kort, 2018. "Overnight versus day returns in gold and gold related assets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(3), pages 526-549, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Mohamed Ayadi & Hatem Ben-Ameur & Skander Lazrak & Yue Wang, 2013. "Canadian Investors and the Discount on Closed-End Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 69-98, February.
    2. Korkie, Bob & Nakamura, Mansao & Turtle, Harry J., 2001. "A contingent claim analysis of closed-end fund premia," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 365-394.
    3. Kim, Youngsoo & Lee, Bong Soo, 2007. "Limited participation and the closed-end fund discount," Journal of Banking & Finance, Elsevier, vol. 31(2), pages 381-399, February.
    4. Michael L. Lemmon & James S. Schallheim & Jaime F. Zender, 2000. "Do Incentives Matter? Managerial Contracts for Dual-Purpose Funds," Journal of Political Economy, University of Chicago Press, vol. 108(2), pages 273-299, April.
    5. Jullavut Kittiakarasakun & Lalatendu Misra & Sinan Yildirim, 2018. "An analysis of closed-end funds discounts viewed from a lack of redemption perspective," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 415-440, February.
    6. Stylianos X. Koufadakis, 2016. "Mispricing Explanations of Closed-End Funds: A Survey Review," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 66(1-2), pages 108-135, January-J.
    7. Matthew Spiegel, 1997. "Closed-End Fund Discounts in a Rational Agent Economy," Finance 9712002, University Library of Munich, Germany.
    8. Dominic Gasbarro & Richard D. Johnson & J. Kenton Zumwalt, 2003. "Evidence on the Mean‐Reverting Tendencies of Closed‐End Fund Discounts," The Financial Review, Eastern Finance Association, vol. 38(2), pages 273-291, May.
    9. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
    10. Bradley, Michael & Brav, Alon & Goldstein, Itay & Jiang, Wei, 2010. "Activist arbitrage: A study of open-ending attempts of closed-end funds," Journal of Financial Economics, Elsevier, vol. 95(1), pages 1-19, January.
    11. Philipp Kellerhals, B. & Schobel, Rainer, 2002. "The dynamic behavior of closed-end funds and its implication for pricing, forecasting, and trading," Journal of Banking & Finance, Elsevier, vol. 26(8), pages 1615-1643, August.
    12. Johnson, Shane A. & Lin, Ji-Chai & Roy Song, Kyojik, 2006. "Dividend policy, signaling, and discounts on closed-end funds," Journal of Financial Economics, Elsevier, vol. 81(3), pages 539-562, September.
    13. Severn, Alan K., 1998. "Closed-end funds and sentiment risk," Review of Financial Economics, Elsevier, vol. 7(1), pages 103-119.
    14. Matthew Spiegel, 1998. "Closed-End Fund Discounts in a Rational Agent Economy," Yale School of Management Working Papers ysm80, Yale School of Management, revised 01 Aug 2000.
    15. Lenkey, Stephen L., 2015. "The closed-end fund puzzle: Management fees and private information," Journal of Financial Intermediation, Elsevier, vol. 24(1), pages 112-129.
    16. Gordon Gemmill & Dylan C. Thomas, 2002. "Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds," Journal of Finance, American Finance Association, vol. 57(6), pages 2571-2594, December.
    17. Arak, Marcelle & Taylor, Dean, 1996. "Risk and return in trading closed-end country funds: Can trading beat holding foreign stocks?," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(2), pages 219-231.
    18. Iuliana Ismailescu & Ben Branch, 2010. "Managerial Performance and Closed‐End Country Fund Premiums: A Lead or Lag Relationship?," International Review of Finance, International Review of Finance Ltd., vol. 10(4), pages 433-453, December.
    19. Grullon, Gustavo & Albert Wang, F., 2001. "Closed-End Fund Discounts with Informed Ownership Differential," Journal of Financial Intermediation, Elsevier, vol. 10(2), pages 171-205, April.
    20. Datar, Vinay, 2001. "Impact of liquidity on premia/discounts in closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 41(1), pages 119-135.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:finmgt:v:39:y:2010:i:3:p:1177-1196. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/fmaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.