Home

Closed End Fund Puzzle

IMA Public Lecture: Behavioral Finance - The Closed End Fund Puzzle by Stephen A. Ross, March 30, 2004

Most important paper:
LEE, C., et al., 1990. Investor sentiment and the closed-end fund puzzle. [Cited by 224]

• ABRAHAM, A., D. ELAN and A.J. MARCUS, 1993. Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond Funds. Financial Review. [Cited by 12] (0.78/year)
• AHMED, E., et al., 1997. Complex bubble persistence in closed-end country funds. Journal of Economic Behavior and Organization. [Cited by 16] (1.40/year)
• ANDERSON, S.C., B.J. COLEMAN and J.A. BORN, 2001. A closer look at trading strategies for US equity closed-end investment companies. Financial Services Review. [Cited by 4] (0.54/year)
• ARAK, M. and D. TAYLOR, 1996. Optimal trading with mean-reverting prices: switching between foreign stocks and closed-end country …. Applied Economics. [Cited by 6] (0.48/year)
• ARORA, N., N. JU and H. OU-YANG, 2003. An agency explanation of the closed-end fund puzzles. [Cited by 3] (0.55/year)
• BAKER, M. and J. WURGLER, 2006. Investor Sentiment and the Cross-Section of Stock Returns. The Journal of Finance. [Cited by 181] (74.89/year)
• BAKER, M.P. and J. WURGLER, 2007. Investor Sentiment in the Stock Market. Journal of Economic Perspectives. [Cited by 48] (33.88/year)
• BARCLAY, M.J., C.G. HOLDERNESS and J. PONTIFF, 1993. Private benefits from block ownership and discounts on closed-end funds. Journal of Financial Economics. [Cited by 132] (8.56/year)
• BARONE-ADESI, G., Y. KIM and F.A.C.O.L.T.à. DI, 1999. Incomplete Information and the Closed-end Fund Discount. [Cited by 5] (0.53/year)
• BAUR, M., P. COELHO and G. SANTONI, 1996. Management Expenses and the Closed-End Fund Puzzle. Journal of Economics. [Cited by 6] (0.48/year)
• BEKAERT, G. and M.S. URIAS, 1996. Diversification, Integration and Emerging Market Closed-End Funds. NBER Working Paper. [Cited by 191] (15.38/year)
• BERK, J. and R. STANTON, 2004. A Rational Model of the Closed-End Fund Discount. NBER Working Paper. [Cited by 18] (4.08/year)
• BERK, J.B. and R. STANTON, 2007. Managerial Ability, Compensation, and the Closed-End Fund Discount. The Journal of Finance. [Cited by 20] (14.12/year)
• BERS, M.K. and J. MADURA, 2000. The Performance Persistence of Closed-End Funds. Financial Review. [Cited by 19] (2.26/year)
• BLEANEY, M. and R.T. SMITH, Prior Performance and Closed-End Fund Discounts. papers.ssrn.com. [Cited by 4] (?/year)
• BRAUER, G.A., 1993. “Investor sentiment” and the closed-end fund puzzle: A 7 percent solution. Journal of Financial Services Research. [Cited by 35] (2.27/year)
• BRICKLEY, J., S. MANASTER and J. SCHALLHEIM, 1991. The Tax-Timing Option and the Discounts on Closed-End Investment Companies. Journal of Business. [Cited by 48] (2.76/year)
• BROWN, G.W. and M.T. CLIFF, 2004. Investor sentiment and the near-term stock market. Journal of Empirical Finance. [Cited by 77] (17.43/year)
• BURCH, T.R., D.R. EMERY and M.E. FUERST, 2003. What Can HNine-Eleven” Tell Us about Closed-end Fund Discounts and Investor Sentiment?. The Financial Review. [Cited by 10] (1.85/year)
• CAPON, N., G.J. FITZSIMONS and R. ALAN, 1996. An individual level analysis of the mutual fund investment decision. Journal of Financial Services Research. [Cited by 103] (8.30/year)
• CHAN, J.S.P., R. JAIN and Y. XIA, 2008. Market segmentation, liquidity spillover, and closed-end country fund discounts. Journal of Financial Markets. [Cited by 8] (17.45/year)
• CHAN, K.C., P.H. HENDERSHOTT and A.B. SANDERS, 1990. Risk and Return on Real Estate: Evidence from Equity REITs. Real Estate Economics. [Cited by 149] (8.09/year)
• CHANDAR, N. and D.K. PATRO, 2000. Why do closed-end country funds trade at enormous premiums during currency crises?. Pacific-Basin Finance Journal. [Cited by 14] (1.66/year)
• CHARLES, M.C., L, Anderei S. and Richard HT, 1991, Investor sentiment and the closed-end fund puzzle. Journal of Finance. [Cited by 3] (?/year)
• CHARLS, L.M.C., S. ANDREI and R.H. THALER, 1991. Investor Sentiment and the Closed-End Fund Puzzle. Journal of Finance. [Cited by 11] (0.63/year)
• CHAY, J.B. and C.A. TRZCINKA, 1999. Managerial performance and the cross-sectional pricing of closed-end funds. Journal of Financial Economics. [Cited by 77] (8.18/year)
• CHEN, G., O. RUI and Y. XU, 2001. A First Look at Closed-End Funds in China. [Cited by 6] (0.81/year)
• CHERKES, M., A Positive Theory of Closed-End Funds as an Investment Vehicle. papers.ssrn.com. [Cited by 17] (?/year)
• CHERKES, M., J. SAGI and R. STANTON, 2005. Liquidity and closed-end funds. [Cited by 6] (1.76/year)
• CHERKES, M., J. SAGI and R. STANTON, 2008. A Liquidity-Based Theory of Closed-End Funds. Review of Financial Studies. [Cited by 8] (17.45/year)
• CHOI, J.J. and I. LEE, 1996. Market segmentation and the valuation of closed-end country funds: An empirical analysis. Review of Quantitative Finance and Accounting. [Cited by 16] (1.29/year)
• CHOPRA, N., et al., 1993. Yes, Discounts on Closed-End Funds Are a Sentiment Index. JOURNAL OF FINANCE-NEW YORK-. [Cited by 64] (4.15/year)
• CHORDIA, T., 1996. The structure of mutual fund charges. Journal of Financial Economics. [Cited by 134] (10.79/year)
• CLARKE, J. and K. SHASTRI, Adverse Selection Costs and Closed-End Funds. papers.ssrn.com. [Cited by 7] (?/year)
• COHEN, B.H. and E.M. REMOLONA, 2008. Information flows during the Asian crisis: Evidence from closed-end funds. Journal of International Money and Finance. [Cited by 6] (13.09/year)
• COLES, J.L., J. SUAY and D. WOODBURY, 2000. Fund Advisor Compensation in Closed-End Funds. The Journal of Finance. [Cited by 47] (5.58/year)
• CORNELL, B. and Q. LIU, The Parent Company Puzzle: When is the Whole Worth Less Than One of Its Parts. papers.ssrn.com. [Cited by 28] (?/year)
• DEAVES, R. and I. KRINSKY, 1994. A POSSIBLE RECONCILIATION OF SOME OF THE CONFLICTING FINDINGS ON CLOSED-END FUND DISCOUNTS: A NOTE. Journal of Business Finance & Accounting. [Cited by 9] (0.62/year)
• DELONG, J.B., A. SHLEIFER and N.A.T.I.O.N.A.L. BUREAU, 1990. The Bubble of 1929: Evidence from Closed-End Funds. [Cited by 8] (0.43/year)
• DIMSON, E. and C. MINIO-KOZERSKI, 1999. Closed-End Funds: A Survey. Financial Markets, Institutions and Instruments. [Cited by 86] (9.13/year)
• DIMSON, E. and C. MINIO-KOZERSKI, The closed-end fund discount and performance persistence. faculty.london.edu. [Cited by 19] (?/year)
• DIMSON, E. and C. MINIO-KOZERSKI, 1999. A Factor Model of the Closed-End Fund Discount. [Cited by 5] (0.53/year)
• DIWAN, I., V. ERRUNZA and L.W. SENBET, 1992. The Pricing of Country Funds and Their Role in Capital Mobilization for Emerging Economies. ideas.repec.org. [Cited by 7] (0.43/year)
• DOUKAS, J.A. and N.T. MILONAS, 2004. Investor Sentiment and the Closed-end Fund Puzzle: Out-of-sample Evidence. European Financial Management. [Cited by 15] (3.40/year)
• ELTON, E.J., M.J. GRUBER and J.A. BUSSE, 1998. Do Investors Care about Sentiment?*. The Journal of Business. [Cited by 71] (6.82/year)
• FERGUSON, R. and D. LEISTIKOW, 2004. Closed-End Fund Discounts and Expected Investment Performance. The Financial Review. [Cited by 10] (2.26/year)
• FERGUSON, R. and D. LEISTIKOW, 2001. Valuing Active Managers, Fees, and Fund Discounts. Financial Analysts Journal. [Cited by 10] (1.35/year)
• FRANKEL, J.A. and S.L. SCHMUKLER, 1996. Country Fund Discounts, Asymmetric Information and the Mexican Crisis of 1994: Did Local Residents …. NBER Working Paper. [Cited by 64] (5.15/year)
• FRANKEL, J.A. and S.L. SCHMUKLER, 1996. Country fund discounts and the mexican crisis of December 1994: Did local residents turn pessimistic …. Open Economies Review. [Cited by 61] (4.91/year)
• FRANKEL, J.A. and S.L. SCHMUKLER, Crisis, Contagion, and Country Funds: Effects on East Asia and Latin America. papers.ssrn.com. [Cited by 89] (?/year)
• GARAY, U. and P. RUSSEL, 1999. The Closed-End Fund Puzzle: A Review. The Journal of Alternative Investments. [Cited by 3] (0.32/year)
• GASBARRO, D., R.D. JOHNSON and J.K. ZUMWALT, 2003. Evidence on the Mean-Reverting Tendencies of Closed-End Fund Discounts. The Financial Review. [Cited by 16] (2.95/year)
• GEMMILL, G. and D.C. THOMAS, 2002. Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed-end Funds. The Journal of Finance. [Cited by 82] (12.78/year)
• GRULLON, G. and F. ALBERT, 2001. Closed-End Fund Discounts with Informed Ownership Differential. Journal of Financial Intermediation. [Cited by 14] (1.89/year)
• HANDLEY, K.W., C.M.C. LEE and P.L. SEGUIN, 1996. The Marketing of Closed-end Fund IPOs: Evidence from Transactions Data. Journal of Financial Intermediation. [Cited by 55] (4.43/year)
• IPPOLITO, R.A., 1992. Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry. Journal of Law and Economics. [Cited by 343] (20.89/year)
• KEIM, D.B. and W.T. ZIEMBA, 2000. Security Market Imperfections in Worldwide Equity Markets. books.google.com. [Cited by 33] (3.92/year)
• KIM, W. and S.J. WEI, 2002. Foreign portfolio investors before and during a crisis. Journal of International Economics. [Cited by 209] (32.57/year)
• KLIBANOFF, P., O. LAMONT and T.A. WIZMAN, 1998. Investor Reaction to Salient News in Closed-End Country Funds. The Journal of Finance. [Cited by 90] (8.64/year)
• KRAMER, C. and T. SMITH, 1998. The Mexican crisis and the behavior of country-fund discounts: Renewing the Puzzle of closed-end …. International Journal of Theoretical and Applied Finance. [Cited by 2] (0.19/year)
• LAMONT, O.A. and R.H. THALER, 2003. Can the Market Add and Subtract? Mispricing in Tech Stock Carve-outs. Journal of Political Economy. [Cited by 251] (46.34/year)
• LEE, B.S. and G. HONG, 2002. On the dual characteristics of closed-end country funds. Journal of International Money and Finance. [Cited by 10] (1.56/year)
• LEE, C. and A. SHLEIFER, Richard Thaler, 1991, Investor Sentiment and the Closed End Fund Puzzle”. Journal of Finance. [Cited by 5] (?/year)
• LEE, C., et al., 1990. Investor Sentiment and the Closed-End Fund Puzzle. [Cited by 610] (33.12/year)
• LEE, C., A. SHLEIFER and R. THALER, 1990. Closed-End Mutual Funds. Journal of Economic Perspectives. [Cited by 25] (1.36/year)
• LEE, C., A. SHLEIFER and R. THALER, 1991. Investment Sentiment and the Closed-End Fund Puzzle. Journal of Finance. [Cited by 3] (0.17/year)
• LEE, C.A., Shleifer, and R. Thaler 1991." Investor sentiment and the closed-end fund puzzle.". Journal of Finance. [Cited by 4] (?/year)
• LEE, C.A., 1999. Shleifer and R. H Thaler., Investor Sentiment and the Closed-end Fund Puzzle. Journal of Finance. [Cited by 3] (0.32/year)
• LEE, C.M. and A. SHLEIFER, et Thaler, RH (1991) Investor Sentiment and the Closed-End Fund Puzzle. Quasi Rational Economics. [Cited by 5] (?/year)
• LEE, C.M.C., A. SHLEIFER and R.H. THALER, 1990. Anomalies: Closed-End Mutual Funds. Journal of Economic Perspectives. [Cited by 55] (2.99/year)
• MALKIEL, B.G., 2003. The Efficient Market Hypothesis and Its Critics. Journal of Economic Perspectives. [Cited by 190] (35.08/year)
• MANZLER, D., 2005. Liquidity, liquidity risk and the closed-end fund discount. [Cited by 5] (1.46/year)
• MULLAINATHAN, S. and R.H. THALER, Behavioral Economics. papers.ssrn.com. [Cited by 188] (?/year)
• MYER, F.C.N. and J.R. WEBB, 1993. Return Properties of Equity REITs, Common Stocks, and Commercial Real Estate: A Comparison. Journal of Real Estate Research. [Cited by 63] (4.09/year)
• NEAL, R. and S.M. WHEATLEY, 1998. Adverse selection and bid-ask spreads: Evidence from closed-end funds. Journal of Financial Markets. [Cited by 61] (5.86/year)
• NORONHA, G.M. and B.L. RUBIN, 1995. Closed-end bond fund discounts: Agency costs, investor sentiment and portfolio content. Journal of Economics and Finance. [Cited by 4] (0.30/year)
• OH, G., S.A. ROSS and W.F.I. CENTER, 1994. Asymmetric Information and the Closed-end Fund Puzzle. ideas.repec.org. [Cited by 2] (0.14/year)
• PATRO, D.K., 2005. Stock Market Liberalization and Emerging Market Country Fund Premiums*. The Journal of Business. [Cited by 13] (3.80/year)
• PONTIFF, J., 1995. Closed-end fund premia and returns implications for financial market equilibrium. Journal of Financial Economics. [Cited by 95] (7.08/year)
• PONTIFF, J., 2006. Costly arbitrage and the myth of idiosyncratic risk. Journal of Accounting and Economics. [Cited by 32] (13.24/year)
• PORTER, D.P. and V.L. SMITH, 2003. Stock Market Bubbles in the Laboratory. Journal of Behavioral Finance. [Cited by 54] (9.97/year)
• RASHES, M.S., 2001. Massively Confused Investors Making Conspicuously Ignorant Choices (MCI-MCIC). The Journal of Finance. [Cited by 55] (7.42/year)
• RICHARD, J.E. and J.B. WIGGINS, 2000. The information content of closed-end country fund discounts. Financial Services Review. [Cited by 12] (1.43/year)
• ROSS, S.A., 2002. Neoclassical Finance, Alternative Finance and the Closed End Fund Puzzle. European Financial Management. [Cited by 39] (6.08/year)
• ROSS, S.A., 2002. A neoclassical look at behavioral finance; closed-end funds. Princeton Lectures in Finance III. [Cited by 16] (2.49/year)
• ROSS, S.A., 2005. Neoclassical finance. pup.princeton.edu. [Cited by 55] (16.10/year)
• ROSS, S.A., 1987. Finance. The New Palgrave Dictionary of Economics. [Cited by 53] (2.47/year)
• ROWE, W.W. and W.N. DAVIDSON, 2000. Fund Manager Succession in Closed-End Mutual Funds. Financial Review. [Cited by 8] (0.95/year)
• ROZEFF, M.S., 1991. Closed-End Fund Discounts and Premiums. Pacific Basin Capital Markets Research. [Cited by 9] (0.52/year)
• SCHWERT, G.W., Anomalies and Market Efficiency. papers.ssrn.com. [Cited by 217] (?/year)
• SHILLER, R.J., 2000. Measuring Bubble Expectations and Investor Confidence. The Journal of Psychology and Financial Markets. [Cited by 82] (9.74/year)
• SHLEIFER, A., 2000. Inefficient markets. ingentaconnect.com. [Cited by 237] (28.16/year)
• SHLEIFER, A. and R.H. THALER, 1991. Investor Sentiment and the Closed-End Fund Puzzle. Journal of Finance. [Cited by 6] (0.34/year)
• SIAS, R., 1997. The Sensitivity of Individual and Institutional Investors' Expectations to Changing Market …. Review of Quantitative Finance and Accounting. [Cited by 14] (1.23/year)
• SIMPSON, M.W. and S. RAMCHANDER, 2002. Is differential sentiment a cause of closed-end country fund premia? An empirical examination of the …. Applied Economics Letters. [Cited by 5] (0.78/year)
• SPIEGEL, M.I., Closed-End Fund Discounts in a Rational Agent Economy. papers.ssrn.com. [Cited by 15] (?/year)
• STARKS, L.T., L.I. YONG and L.U. ZHENG, 2006. Tax-Loss Selling and the January Effect: Evidence from Municipal Bond Closed-End Funds. The Journal of Finance. [Cited by 13] (5.38/year)
• WANG, K., et al., 1995. Market Microstructure and Real Estate Returns. Real Estate Economics. [Cited by 32] (2.39/year)
• WARTHER, V.A., 1995. Aggregate mutual fund flows and security returns. Journal of Financial Economics. [Cited by 277] (20.65/year)
• XU, Y., http:? www. utdallas. edu/~ yexiaoxu. Understanding Closed-End Fund Puzzles-A Stochastic Turnover Perspective. [Cited by 6] (?/year)