Investor Sentiment and the Closed-End Fund Puzzle / Charles Lee, Andrei Shleifer, Richard Thaler.

Format:

Book

Author/Creator:

Lee, Charles.

Contributor:

National Bureau of Economic Research.

Shleifer, Andrei.

Thaler, Richard.

Series:

Working Paper Series (National Bureau of Economic Research) no. w3465.

NBER working paper series no. w3465

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1990.

Summary:

This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.

Notes:

Print version record

October 1990.