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.

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  • 1559 results in Vassar Scholarship
Vassar Scholarship

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

Publication Date
2005-September-12
Document Type
working paper
Authors
Flynn, Sean M.
Department or Program
Economics Department
Document Type
Working Paper
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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Vassar Scholarship

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

Publication Date
2005-August-30
Document Type
working paper
Authors
Flynn, Sean M.
Department or Program
Economics Department
Document Type
Working Paper
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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