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Sean M. Flynn

Arbitrage in closed-end funds: New evidence

Publication Date
2006-August-20
Document Type
Authors
Department or Program
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
Document Type
Authors
Department or Program
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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Limited arbitrage, segmentation, and investor heterogeneity: Why the law of one price so often fails

Publication Date
2003-August-28
Document Type
Authors
Department or Program
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
Document Type
Authors
Department or Program
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
Document Type
Authors
Department or Program
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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Sentiment and the interpretation of news about fundamentals

Publication Date
2005-August-30
Document Type
Authors
Department or Program
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
Document Type
Authors
Department or Program
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
Document Type
Authors
Department or Program
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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