Vassar Scholarship
Noise-trader risk: does it deter arbitrage, and is it priced?
Publication Date
2005-September-12
Document Type
Department or Program
Document Type
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...
