X-Message-Number: 9775 Date: Mon, 25 May 1998 08:59:27 -0700 (PDT) From: Doug Skrecky <> Subject: closed-end fund premia Journal of Financial Economics 37: 241-370 1995 "Closed-end Fund Premia and Returns. Implications for Financial Market Equilibrium" Abstract: This paper examines the relation between closed-end fund premia and returns. Additional evidence is provided on Thompson's (1978) finding that fund premia are negatively correlated with future returns. Funds with 20% discounts have expected twelve-month returns that are 6% greater than nondiscounted funds. This correlation is attributed to premium mean-reversion, not to anticipated future portfolio performance. Economically motivated explanations do not account for this effect. Rate This Message: http://www.cryonet.org/cgi-bin/rate.cgi?msg=9775