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Costly Arbitrage: Evidence from Closed-End Funds

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Cited by:

  1. Hwang, Byoung-Hyoun, 2011. "Country-specific sentiment and security prices," Journal of Financial Economics, Elsevier, vol. 100(2), pages 382-401, May.
  2. José Renato Haas Ornelas & Pablo José Campos de Carvalho, 2021. "Short‐selling costs and asymmetric price response to economic shocks: A transaction cost explanation to price overshooting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1745-1772, April.
  3. Hain, Martin & Hess, Julian & Uhrig-Homburg, Marliese, 2018. "Relative value arbitrage in European commodity markets," Energy Economics, Elsevier, vol. 69(C), pages 140-154.
  4. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2023. "Imperfect Financial Markets and Investment Inefficiencies," American Economic Review, American Economic Association, vol. 113(9), pages 2323-2354, September.
  5. Allaudeen Hameed & Randall Morck & Jianfeng Shen & Bernard Yeung, 2015. "Information, Analysts, and Stock Return Comovement," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3153-3187.
  6. David Hirshleifer & Siew Hong Teoh & Jeff Jiewei Yu, 2011. "Short Arbitrage, Return Asymmetry, and the Accrual Anomaly," The Review of Financial Studies, Society for Financial Studies, vol. 24(7), pages 2429-2461.
  7. Sanning, Lee W. & Skiba, Alexandre & Skiba, Hilla, 2013. "Short sale restrictions, differences of opinion, and single-country, closed-end fund discount," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 44-50.
  8. Edmans, Alex & Fernandez-Perez, Adrian & Garel, Alexandre & Indriawan, Ivan, 2022. "Music sentiment and stock returns around the world," Journal of Financial Economics, Elsevier, vol. 145(2), pages 234-254.
  9. Yih-Wenn Laih, 2016. "Do Experts in Financial Magazines Exhibit the Representativeness Heuristic? Evidence from Taiwan," Accounting and Finance Research, Sciedu Press, vol. 5(4), pages 1-49, November.
  10. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
  11. Yongqiang Chu & David Hirshleifer & Liang Ma, 2020. "The Causal Effect of Limits to Arbitrage on Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 75(5), pages 2631-2672, October.
  12. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  13. Cakici, Nusret & Zaremba, Adam, 2022. "Salience theory and the cross-section of stock returns: International and further evidence," Journal of Financial Economics, Elsevier, vol. 146(2), pages 689-725.
  14. Gagnon, Louis & Andrew Karolyi, G., 2010. "Multi-market trading and arbitrage," Journal of Financial Economics, Elsevier, vol. 97(1), pages 53-80, July.
  15. Ana-Maria Fuertes & Dylan Thomas, 2004. "Market-wide shocks and anomalous price behaviour: evidence from closed-end funds," Money Macro and Finance (MMF) Research Group Conference 2004 56, Money Macro and Finance Research Group.
  16. Atanasova, Christina & Weisskopf, Jean-Philippe, 2020. "The price of international equity ETFs: The role of relative liquidity," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
  17. Jeffrey Wurgler & Ekaterina Zhuravskaya, 2002. "Does Arbitrage Flatten Demand Curves for Stocks?," The Journal of Business, University of Chicago Press, vol. 75(4), pages 583-608, October.
  18. Jin, Li & Merton, Robert C. & Bodie, Zvi, 2006. "Do a firm's equity returns reflect the risk of its pension plan?," Journal of Financial Economics, Elsevier, vol. 81(1), pages 1-26, July.
  19. 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.
  20. Pontiff, Jeffrey, 2006. "Costly arbitrage and the myth of idiosyncratic risk," Journal of Accounting and Economics, Elsevier, vol. 42(1-2), pages 35-52, October.
  21. Omar Esqueda & Yongli Luo & Dave Jackson, 2015. "The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 541-556, July.
  22. Mitchell, Mark & Pulvino, Todd, 2012. "Arbitrage crashes and the speed of capital," Journal of Financial Economics, Elsevier, vol. 104(3), pages 469-490.
  23. Seth Anderson & T. Randolph Beard & Hyeongwoo Kim & Liliana V. Stern, 2016. "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 363-386, December.
  24. Huang, Jiekun, 2018. "The customer knows best: The investment value of consumer opinions," Journal of Financial Economics, Elsevier, vol. 128(1), pages 164-182.
  25. Chen, Weihua & Mamon, Rogemar & Xiong, Heng & Zeng, Pingping, 2024. "Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
  26. Laurence Copeland, 2007. "Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed‐End Mutual Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 313-330, January.
  27. Durmaz, Nazif & Kim, Hyeongwoo & Lee, Hyejin & Sun, Yanfei, 2023. "Trend Breaks and the Persistence of Closed-End Mutual Fund Discounts," MPRA Paper 117789, University Library of Munich, Germany.
  28. Long, Huaigang & Chiah, Mardy & Zaremba, Adam & Umar, Zaghum, 2024. "Changes in shares outstanding and country stock returns around the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 90(C).
  29. Shen, Junyan & Yu, Jianfeng & Zhao, Shen, 2017. "Investor sentiment and economic forces," Journal of Monetary Economics, Elsevier, vol. 86(C), pages 1-21.
  30. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
  31. Evgeniou, Theodoros & de Fortuny, Enric Junqué & Nassuphis, Nick & Vermaelen, Theo, 2018. "Volatility and the buyback anomaly," Journal of Corporate Finance, Elsevier, vol. 49(C), pages 32-53.
  32. Robert F. Stambaugh & Yu Yuan, 2017. "Mispricing Factors," The Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1270-1315.
  33. Guangsug Hahn & Dong Chul Won, 2007. "Equilibrium in Financial Markets with Market Frictions," Korean Economic Review, Korean Economic Association, vol. 23, pages 267-302.
  34. Hwang, Byoung-Hyoun & Kim, Hugh Hoikwang, 2017. "It pays to write well," Journal of Financial Economics, Elsevier, vol. 124(2), pages 373-394.
  35. Kim, Jang-Chul & Song, Kyojik Roy, 2010. "Investment barriers and premiums on closed-end country funds," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 615-626, October.
  36. Souther, Matthew E., 2016. "The effects of takeover defenses: Evidence from closed-end funds," Journal of Financial Economics, Elsevier, vol. 119(2), pages 420-440.
  37. Scruggs, John T., 2007. "Noise trader risk: Evidence from the Siamese twins," Journal of Financial Markets, Elsevier, vol. 10(1), pages 76-105, February.
  38. Jonathan Berk & Richard Stanton, 2004. "A Rational Model of the Closed-End Fund Discount," NBER Working Papers 10412, National Bureau of Economic Research, Inc.
  39. Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong & Yin, Chengxi, 2020. "Offsetting disagreement and security prices," LSE Research Online Documents on Economics 101135, London School of Economics and Political Science, LSE Library.
  40. Jimmy E. Hilliard & Jitka Hilliard, 2017. "Option pricing under short-lived arbitrage: theory and tests," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1661-1681, November.
  41. Altieri, Michela & Schnitzler, Jan, 2023. "Quarterly investment spikes, stock returns, and the investment factor," Journal of Financial Markets, Elsevier, vol. 66(C).
  42. Chang, Danting, 2021. "Fundamental anomalies and the size puzzle in China: A data mining approach," Finance Research Letters, Elsevier, vol. 42(C).
  43. Meredith Beechey & David Gruen & James Vickery, 2000. "The Efficient Market Hypothesis: A Survey," RBA Research Discussion Papers rdp2000-01, Reserve Bank of Australia.
  44. Hughen, J. Christopher & Mathew, Prem G., 2009. "The efficiency of international information flow: Evidence from the ETF and CEF prices," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 40-49, March.
  45. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
  46. Kryzanowski, Lawrence & Mohebshahedin, Mahmood, 2016. "Board governance, monetary interest, and closed-end fund performance," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 196-217.
  47. Sebastian Dickgiesser & Christoph Kaserer, 2010. "Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information," German Economic Review, Verein für Socialpolitik, vol. 11(3), pages 302-335, August.
  48. Chun, Hyunbae & Kim, Jung-Wook & Morck, Randall & Yeung, Bernard, 2008. "Creative destruction and firm-specific performance heterogeneity," Journal of Financial Economics, Elsevier, vol. 89(1), pages 109-135, July.
  49. Pereira Reichhardt, Joaquín & Iqbal, Tabassum, 2014. "Investment Decisions: Are we fully-Rational?," MPRA Paper 57686, University Library of Munich, Germany.
  50. Levon Goukasian & Emily Jian Huang & Qingzhong Ma & Wei Zhang, 2021. "Anchoring and Risk Factors," International Journal of Economics and Financial Issues, Econjournals, vol. 11(4), pages 82-96.
  51. Green, T. Clifton & Jame, Russell, 2013. "Company name fluency, investor recognition, and firm value," Journal of Financial Economics, Elsevier, vol. 109(3), pages 813-834.
  52. Su, Xuan-Qi, 2023. "Directors' and Officers' liability insurance and cross section of expected stock returns: A mispricing explanation," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
  53. Gregory Boadu-Sebbe, 2022. "Effect of Exchange-Traded Funds Arbitrage Transactions on their Underlying Holdings," CERGE-EI Working Papers wp738, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  54. Okada, Katsuhiko & Isagawa, Nobuyuki & Fujiwara, Kenya, 2006. "Addition to the Nikkei 225 Index and Japanese market response: Temporary demand effect of index arbitrageurs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 395-409, September.
  55. Blackburn, Douglas W. & Cakici, Nusret, 2017. "Overreaction and the cross-section of returns: International evidence," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 1-14.
  56. Renault, Thomas, 2017. "Intraday online investor sentiment and return patterns in the U.S. stock market," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 25-40.
  57. Frino, Alex & Mollica, Vito & Webb, Robert I. & Zhang, Shunquan, 2017. "The impact of latency sensitive trading on high frequency arbitrage opportunities," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 91-102.
  58. Jacobs, Heiko, 2015. "What explains the dynamics of 100 anomalies?," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 65-85.
  59. Bae, Kyounghun & Kim, Daejin, 2020. "Liquidity risk and exchange-traded fund returns, variances, and tracking errors," Journal of Financial Economics, Elsevier, vol. 138(1), pages 222-253.
  60. Jin, Li & Myers, Stewart C., 2006. "R2 around the world: New theory and new tests," Journal of Financial Economics, Elsevier, vol. 79(2), pages 257-292, February.
  61. Truong, Cameron, 2011. "Post-earnings announcement abnormal return in the Chinese equity market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 637-661.
  62. Sebastian Schnejdar & Michael Heinrich & René-Ojas Woltering & Steffen Sebastian, 2020. "The Discount to NAV of Distressed Open-End Real Estate Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 61(1), pages 80-114, June.
  63. Lam, F.Y. Eric C. & Wei, K.C. John, 2011. "Limits-to-arbitrage, investment frictions, and the asset growth anomaly," Journal of Financial Economics, Elsevier, vol. 102(1), pages 127-149, October.
  64. Chandar, Nandini & Patro, Dilip Kumar, 2000. "Why do closed-end country funds trade at enormous premiums during currency crises?," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 217-248, May.
  65. Itzhak Ben‐David & Francesco Franzoni & Rabih Moussawi, 2018. "Do ETFs Increase Volatility?," Journal of Finance, American Finance Association, vol. 73(6), pages 2471-2535, December.
  66. Li, Li & Huang, Shiyang & Lou, Dong & Shi, Jiahong, 2021. "Why don't most mutual funds short sell?," LSE Research Online Documents on Economics 118854, London School of Economics and Political Science, LSE Library.
  67. Liang Ma, 2024. "What drives closed‐end fund discounts? Evidence from COVID‐19," Financial Management, Financial Management Association International, vol. 53(1), pages 119-143, March.
  68. Barber, Brad M. & Lehavy, Reuven & McNichols, Maureen & Trueman, Brett, 2006. "Buys, holds, and sells: The distribution of investment banks' stock ratings and the implications for the profitability of analysts' recommendations," Journal of Accounting and Economics, Elsevier, vol. 41(1-2), pages 87-117, April.
  69. Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005. "Momentum Profits and Macroeconomic Risk," NBER Working Papers 11480, National Bureau of Economic Research, Inc.
  70. David Hirshleifer & Sonya S. Lim & Siew Hong Teoh, 2011. "Limited Investor Attention and Stock Market Misreactions to Accounting Information," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 1(1), pages 35-73.
  71. Kim, Soonho & Na, Haejung, 2020. "Earnings information, arbitrage constraints, and the forecast dispersion anomaly," Finance Research Letters, Elsevier, vol. 35(C).
  72. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
  73. Choy, Siu Kai & Lewis, Craig & Tan, Yongxian, 2023. "Can the changes in fundamentals explain the attenuation of anomalies?," Journal of Financial Economics, Elsevier, vol. 149(2), pages 142-160.
  74. Jacobs, Heiko & Müller, Sebastian, 2020. "Anomalies across the globe: Once public, no longer existent?," Journal of Financial Economics, Elsevier, vol. 135(1), pages 213-230.
  75. Artyom Durnev & Randall Morck & Bernard Yeung, 2001. "Does Firm-specific Information in Stock Prices Guide Capital Allocation?," NBER Working Papers 8093, National Bureau of Economic Research, Inc.
  76. Gonçalves, Tiago & Gaio, Cristina & Lélis, Carlos, 2020. "Accrual mispricing: Evidence from European sovereign debt crisis," Research in International Business and Finance, Elsevier, vol. 52(C).
  77. Owen Lamont & Christopher Polk, "undated". "The Diversification Discount: Cash Flows vs. Returns."," CRSP working papers 504, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  78. Baker, Malcolm & Savasoglu, Serkan, 2002. "Limited arbitrage in mergers and acquisitions," Journal of Financial Economics, Elsevier, vol. 64(1), pages 91-115, April.
  79. Guanming He, 2021. "Credit rating, post‐earnings‐announcement drift, and arbitrage from transient institutions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 48(7-8), pages 1434-1467, July.
  80. Seoyoung Kim & April Klein & James Rosenfeld, 2008. "Return Performance Surrounding Reverse Stock Splits: Can Investors Profit?," Financial Management, Financial Management Association International, vol. 37(2), pages 173-192, June.
  81. Gang Hu & J. Ginger Meng & Mark E. Potter, 2008. "Opinion Divergence Among Professional Investment Managers," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(5‐6), pages 679-703, June.
  82. Inoue, Kotaro & 井上, 光太郎 & Kato, Hideaki Kiyoshi & 加藤, 英明 & James Schallheim, 2008. "Parent company puzzle in Japan : another case of the limits of arbitrage," Hitotsubashi Journal of commerce and management, Hitotsubashi University, vol. 42(1), pages 67-85, October.
  83. Chan, Justin S.P. & Jain, Ravi & Xia, Yihong, 2008. "Market segmentation, liquidity spillover, and closed-end country fund discounts," Journal of Financial Markets, Elsevier, vol. 11(4), pages 377-399, November.
  84. Atanasova, Christina & Li, Mingxin, 2018. "Multi-market trading and liquidity: Evidence from cross-listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 117-138.
  85. Flynn, Sean M., 2005. "Closed-end Fund Discounts and Interest Rates: Positive Covariance in US Data after 1985," Vassar College Department of Economics Working Paper Series 73, Vassar College Department of Economics.
  86. Chudek, Mark & Truong, Cameron & Veeraraghavan, Madhu, 2011. "Is trading on earnings surprises a profitable strategy? Canadian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 832-850.
  87. Yezhou Sha & Ziwen Bu & Zilong Wang, 2023. "What drives the distress risk–return puzzle? A perspective on limits of arbitrage," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3574-3592, October.
  88. Schwert, G. William, 2003. "Anomalies and market efficiency," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974, Elsevier.
  89. Lutz, Chandler, 2015. "The impact of conventional and unconventional monetary policy on investor sentiment," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 89-105.
  90. Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
  91. Cornett, Marcia Millon & Marcus, Alan J. & Saunders, Anthony & Tehranian, Hassan, 2007. "The impact of institutional ownership on corporate operating performance," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1771-1794, June.
  92. Shuping Chen & Xia Chen & Qiang Cheng, 2014. "Conservatism and Equity Ownership of the Founding Family," European Accounting Review, Taylor & Francis Journals, vol. 23(3), pages 403-430, September.
  93. Cohen, Daniel A. & Dey, Aiyesha & Lys, Thomas Z. & Sunder, Shyam V., 2007. "Earnings announcement premia and the limits to arbitrage," Journal of Accounting and Economics, Elsevier, vol. 43(2-3), pages 153-180, July.
  94. Kenneth A. Froot & Tarun Ramadorai, 2001. "The Information Content of International Portfolio Flows," NBER Working Papers 8472, National Bureau of Economic Research, Inc.
  95. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
  96. Alexander, Gordon J. & Peterson, Mark A., 2017. "Short selling and the pricing of closed-end funds," Journal of Financial Markets, Elsevier, vol. 33(C), pages 124-142.
  97. 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.
  98. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper 4995, University Library of Munich, Germany.
  99. Lipson, Marc L. & Mortal, Sandra & Schill, Michael J., 2011. "On the Scope and Drivers of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1651-1682, December.
  100. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
  101. Cheema, Muhammad A. & Nartea, Gilbert V., 2014. "Momentum returns and information uncertainty: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 173-188.
  102. 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.
  103. Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
  104. Ayadi, Mohamed A. & Kryzanowski, Lawrence & Mohebshahedin, Mahmood, 2018. "Impact of sponsorship on fixed-income fund performance," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 121-137.
  105. Schultz, Paul & Shive, Sophie, 2010. "Mispricing of dual-class shares: Profit opportunities, arbitrage, and trading," Journal of Financial Economics, Elsevier, vol. 98(3), pages 524-549, December.
  106. Ince, Baris, 2022. "Liquidity components: Commonality in liquidity, underreaction, and equity returns," Journal of Financial Markets, Elsevier, vol. 60(C).
  107. Lin, Chaonan & Ko, Kuan-Cheng & Lin, Lin & Yang, Nien-Tzu, 2017. "Price limits and the value premium in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 41(C), pages 26-45.
  108. Stratmann, Thomas & Welborn, John W., 2013. "The options market maker exception to SEC Regulation SHO," Journal of Financial Markets, Elsevier, vol. 16(2), pages 195-226.
  109. Nazif Durmaz & Hyeongwoo Kim & Hyejin Lee & Yanfei Sun, 2023. "Trend Breaks and the Persistence of Closed-End Fund Discounts," Auburn Economics Working Paper Series auwp2023-08, Department of Economics, Auburn University.
  110. Farhana Rahman, 2022. "Discount Puzzle Of Closed-End Mutual Funds: A Case Of Bangladesh," Papers 2209.13102, arXiv.org.
  111. K. Stephen Haggard & Xiumin Martin & Raynolde Pereira, 2008. "Does Voluntary Disclosure Improve Stock Price Informativeness?," Financial Management, Financial Management Association International, vol. 37(4), pages 747-768, December.
  112. Fuertes, Ana-Maria & Thomas, Dylan C., 2006. "Large market shocks and abnormal closed-end-fund price behaviour," Journal of Banking & Finance, Elsevier, vol. 30(9), pages 2517-2535, September.
  113. 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.
  114. Joey W. Yang & Lewis May & John Gould, 2023. "Exchange‐traded fund ownership and underlying stock mispricing," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1417-1445, April.
  115. Hirshleifer, David & Teoh, Siew Hong & Yu, Jeff Jiewei, 2007. "Do short-sellers arbrtrage accrual-based return anomalies?," MPRA Paper 5510, University Library of Munich, Germany, revised 27 Oct 2007.
  116. Elias Albagli & Christian Hellwig & Aleh Tsyvinski, 2017. "Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium," NBER Working Papers 23419, National Bureau of Economic Research, Inc.
  117. Fang, Yi & Niu, Hui & Tong, Xiangda, 2022. "Crash probability anomaly in the Chinese stock market," Finance Research Letters, Elsevier, vol. 44(C).
  118. Obaid, Khaled & Pukthuanthong, Kuntara, 2022. "A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news," Journal of Financial Economics, Elsevier, vol. 144(1), pages 273-297.
  119. Brown, William O. & Huang, Dayong & Wang, Fang, 2016. "Inflation illusion and stock returns," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 14-24.
  120. Eric Overby & Jonathan Clarke, 2012. "A Transaction-Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading," Management Science, INFORMS, vol. 58(2), pages 394-412, February.
  121. Jay Wang, Z. & Nanda, Vikram, 2011. "Payout policies and closed-end fund discounts: Signaling, agency costs, and the role of institutional investors," Journal of Financial Intermediation, Elsevier, vol. 20(4), pages 589-619, October.
  122. 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.
  123. 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.
  124. Liu, Xin, 2021. "Diversification in lottery-like features and portfolio pricing discount: Evidence from closed-end funds," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 1-11.
  125. Souther, Matthew E., 2018. "The effects of internal board networks: Evidence from closed-end funds," Journal of Accounting and Economics, Elsevier, vol. 66(1), pages 266-290.
  126. Kim, Doseong & Kim, Yura & Song, Kyojik Roy, 2013. "Payout policies on U.S. closed-end funds," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 345-356.
  127. Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi, 2016. "Exchange Traded Funds (ETFs)," Swiss Finance Institute Research Paper Series 16-64, Swiss Finance Institute.
  128. Owen A. Lamont & Richard H. Thaler, 2003. "Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs," Journal of Political Economy, University of Chicago Press, vol. 111(2), pages 227-268, April.
  129. Radeef Chundakkadan, 2021. "Light a lamp and look at the stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.
  130. Huang, Dayong & Li, Jay Y. & Wu, Kai, 2021. "The effect of oil supply shocks on industry returns," Journal of Commodity Markets, Elsevier, vol. 24(C).
  131. Alsayed, Hamad & McGroarty, Frank, 2012. "Arbitrage and the Law of One Price in the market for American depository receipts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1258-1276.
  132. Au, Andrea S. & Doukas, John A. & Onayev, Zhan, 2009. "Daily short interest, idiosyncratic risk, and stock returns," Journal of Financial Markets, Elsevier, vol. 12(2), pages 290-316, May.
  133. Ana Isabel Ramos Domingues & António de Melo da Costa Cerqueira & Elísio Fernando Moreira Brandão, 2016. "Idiosyncratic Volatility and Earnings Quality: Evidence from United Kingdom," FEP Working Papers 579, Universidade do Porto, Faculdade de Economia do Porto.
  134. Nazif Durmaz, 2023. "Closed-End Fund Discounts and Economic Policy Uncertainty," JRFM, MDPI, vol. 16(3), pages 1-29, March.
  135. Iuliana Ismailescu, 2008. "Determinants of the Time-Variation in Emerging-Market Closed-End Fund Premiums: A Comparison between Equity and Bond Funds," The American Economist, Sage Publications, vol. 52(2), pages 54-64, October.
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