Vassar College Digital Library

Vassar Scholarship

Vassar Scholarship, the institutional repository formerly known as Digital Window, reflects the research and scholarly output of the Vassar College community.  It provides access to a variety of collections, including senior theses and projects across a wide range of disciplines.

Arbitrage in closed-end funds: New evidence

Publication Date
2006-August-20
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Authors
Department or Program
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Abstract

Arbitrage pressures that could equalize closed-end fund share prices with fund portfolio values appear to be largely absent in an extensive data set. Observed fund behavior violates the static arbitrage bounds of Gemmill and Thomas (2002) and is inconsistent with...

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Closed-end fund discounts and interest rates: positive covariance in US data after 1985

Publication Date
2005-September-01
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Authors
Department or Program
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Abstract

Previous papers find no relationship between interest rates and the discounts of US closed-end funds before 1985. This is taken as evidence against management fees being a cause of discounts because a negative relationship is expected: if interest rates rise...

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Distribution, inflation, and public industrial enterprises

Publication Date
1991-September-01
Document Type
Department or Program
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Abstract

A Kaleckian model, featuring the complementarity of the public and private sectors and administered pricing of public-sector products, is developed to examine the impact of public enterprises on income distribution between the state, capital, and labor. Public-sector mark-up and relative...

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Inflation, growth, and import bottlenecks in the Turkish manufacturing sector

Publication Date
1989-November-01
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Department or Program
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Abstract

This paper argues that, in economies heavily dependent on imported inputs, the responsiveness of price and output to cost and demand factors are altered by foreign exchange bottlenecks if the government resorts to nonmarket allocation of import licenses. A model...

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Limited arbitrage, segmentation, and investor heterogeneity: Why the law of one price so often fails

Publication Date
2003-August-28
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Authors
Department or Program
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Abstract

There are numerous examples of assets with identical payout streams being priced differently. These violations of the law of one price result from two factors. First, investors have heterogeneous asset valuations so that if two groups of investors trade in...

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Noise-trader risk: does it deter arbitrage, and is it priced?

Publication Date
2005-September-12
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Authors
Department or Program
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Abstract

Arbitrage positions that benefit from the reversion of closed-end fund discounts to rational levels show excess returns that increase in magnitude the more funds are mispriced. At the same time, fund trading volumes and bid-ask spreads more than double as...

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Noise-trading, costly arbitrage, and asset prices: evidence from US closed-end funds

Publication Date
2005-August-30
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Authors
Department or Program
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Abstract

The behavior of US closed-end funds is very different from that of the UK funds studied by Gemmill and Thomas (2002). There is no evidence that their discounts are constrained by arbitrage barriers, no evidence that higher expenses increase discounts...

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Quesnay's Tableau Economique: An expository note

Publication Date
1991-September-01
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Department or Program
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Abstract

Francois Quesney's Tableau is reformulated as a two-sector linear system. Stationary state interclass exchanges are described by a sequential accounting Tableau of real and monetary holdings of each class at each step of the circulation process. A diagrammatic framework is...

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Sentiment and the interpretation of news about fundamentals

Publication Date
2005-August-30
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Authors
Department or Program
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Abstract

The reaction of closed-end fund share prices to changes in portfolio values is on average the same whether funds are trading at discounts or premia and whether the changes in portfolio values are positive or negative. If closed-end fund discounts...

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Short selling behavior when fundamentals are known: Evidence from NYSE closed-end funds

Publication Date
2006-January-11
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Authors
Department or Program
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Abstract

The larger a closed-end fund's premium over its portfolio value, the more intensely it is sold short. However, the intensity of short selling affects neither the rate at which premia mean revert to fundamental values nor the rate of return...

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Why only some industries unionize: insights from reciprocity theory

Publication Date
2005-February-14
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Authors
Department or Program
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Abstract

This paper argues that the degree to which a given industry's labor contracts are complete or incomplete is the major factor determining whether its workforce will be unionized. For instance, assembly line industries feature complete labor contracts because of the...

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