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Closed‐End Funds: A Survey

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  • Elroy Dimson
  • Carolina Minio‐Kozerski

Abstract

This survey reviews the evolving literature on closed‐end fund discounts. Many studies have attempted to explain the existence and the behavior of the discount to net asset value, emphasizing biases in the calculation of NAV, agency costs, tax‐timing options and market segmentation. None has been able to provide a full explanation. As a result, some researchers have found it necessary to resort to models of limited rationality. This gives rise to potential opportunities for exploiting the discount. We summarize the findings from over 70 studies of closed‐end funds, and present directions for future research.

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  • Elroy Dimson & Carolina Minio‐Kozerski, 1999. "Closed‐End Funds: A Survey," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 8(2), pages 1-41, May.
    • Handle: RePEc:wly:finmar:v:8:y:1999:i:2:p:1-41
    DOI: 10.1111/1468-0416.00027
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    Cited by:

    1. 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.
    2. Flynn, Sean Masaki, 2012. "Noise-trading, costly arbitrage, and asset prices: Evidence from US closed-end funds," Journal of Financial Markets, Elsevier, vol. 15(1), pages 108-125.
    3. Michael Bleaney & R. Todd Smith, 2013. "Excess volatility and closed‐end fund discounts," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 12(2), pages 165-179, May.
    4. Flynn, Sean M., 2005. "Sentiment and the Interpretation of News about Fundamentals," Vassar College Department of Economics Working Paper Series 72, Vassar College Department of Economics.
    5. Flynn, Sean Masaki, 2003. "Limited Arbitrage, Segmentation, and Investor Heterogeneity: Why the Law of One Price So Often Fails," Vassar College Department of Economics Working Paper Series 56, Vassar College Department of Economics.
    6. William M. Gentry & Charles M. Jones & Christopher J. Mayer, 2004. "Do Stock Prices Really Reflect Fundamental Values? The Case of REITs," NBER Working Papers 10850, National Bureau of Economic Research, Inc.
    7. Flynn, Sean Masaki, 2004. "Arbitrage in Closed-end Funds: New Evidence," Vassar College Department of Economics Working Paper Series 57, Vassar College Department of Economics.
    8. Wermers, Russ & Wu, Youchang & Zechner, Josef, 2006. "Portfolio performance, discount dynamics, and the turnover of closed-end fund managers," CFR Working Papers 06-12, University of Cologne, Centre for Financial Research (CFR).
    9. Tarun Ramadorai, 2012. "The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium," Journal of Finance, American Finance Association, vol. 67(2), pages 479-512, April.
    10. Michael Bleaney & R. Todd Smith, 2008. "Risk, Managerial Skill and Closed-End Fund Discounts," Discussion Papers 08/10, University of Nottingham, School of Economics.

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