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Subject

JEL Classification: G12

Vassar Scholarship

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

Publication Date
2005-September-01
Document Type
working paper
Authors
Flynn, Sean M.
Department or Program
Economics Department
Document Type
Working Paper
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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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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