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.

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