| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5588 |
| 来源ID | Working Paper 5588 |
| Investor Reaction to Salient News in Closed-End Country Funds | |
| Peter Klibanoff; Owen Lamont; Thierry A. Wizman | |
| 发表日期 | 1996-05-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | We provide a model of closed-end fund pricing which includes investors who do not form expectations correctly and allows for salient country-specific news to affect this expectation formation process. We use panel data on prices and net asset values of closed- end country funds to examine investor reaction to news that affects fundamentals, and measure the response of the idiosyncratic change in fund prices to the idiosyncratic change in fund asset values. In a typical week, US prices underreact to changes in foreign fundamentals; the (short-run) elasticity of price with respect to asset value is significantly less than one. In weeks with major news (relevant to the specific country) appearing on the front page of The New York Times, prices react much more to fundamentals; the elasticity of price with respect to asset value is closer to one. These results are roughly consistent with the hypothesis that major news events lead some investors who normally lag behind in updating their expectations to temporarily react more quickly. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w5588 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563062 |
| 推荐引用方式 GB/T 7714 | Peter Klibanoff,Owen Lamont,Thierry A. Wizman. Investor Reaction to Salient News in Closed-End Country Funds. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5588.pdf（1475KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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