| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1426 |
| DP1426 Was Prometheus Unbound by Chance? Risk, Diversification and Growth | |
| Daron Acemoğlu; Fabrizio Zilibotti | |
| 发表日期 | 1996-06-30 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | The prices of Greek closed-end funds behave similarly to the prices of US funds: they deviate substantially from their net asset values (NAVs); they are more volatile than their NAVs; and they are overly-sensitive to the movements of the domestic stock market index. Furthermore, their premia are: (i) positively correlated cross-sectionally; (ii) positively correlated with the future NAV returns; and (iii) negatively correlated with the future returns on the funds. Yet most Greek funds are subsidiaries of banks that have considerable influence on their pricing, whereas US funds are owned mainly by small investors. Future explanations to the closed-end fund puzzle should, therefore, transcend the narrow institutional characteristics of asset composition and ownership of US closed-end funds. |
| 主题 | Financial Economics |
| 关键词 | Arbitrage Bank subsidiary Closed-end fund Common factor Excess volatility Fund discount Fund premium Market friction Mean reversion Measurement error |
| URL | https://cepr.org/publications/dp1426 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530568 |
| 推荐引用方式 GB/T 7714 | Daron Acemoğlu,Fabrizio Zilibotti. DP1426 Was Prometheus Unbound by Chance? Risk, Diversification and Growth. 1996. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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