Download or read book Investor Sentiment and the Closed End Fund Puzzle written by Charles Lee and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.
Download or read book Investor Sentiment and the Closed end Fund Puzzle written by Charles Lee and published by . This book was released on 1990 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.
Download or read book Investor Sentiment and the Closed end Fund Puzzle written by Charles M. C. Lee and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Sentiment and the Closed End Fund Puzzle written by John A. Doukas and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine the proposition that small investor sentiment, measured by the change in the discount/premium on closed-end funds, is an important factor in stock returns. We conduct an out-of-sample test of the investor sentiment hypothesis in a market environment that is more likely to be prone to investor sentiment than the U.S. We fail to provide supporting evidence of the claim of Lee, Shleifer, and Thaler (1991) that investor sentiment affects the risk of common stocks. Consistent with Elton, Gruber, and Busse (1998), who show that investor sentiment does not enter the return generating process, our tests do not detect investor sentiment in a capital market that is more susceptible to small investor sentiment. Our results provide additional support against the claim that investor sentiment represents an independent and systematic asset pricing risk.
Download or read book Investor sentiment and the closed end puzzle written by Charles Lee and published by . This book was released on 1990 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Closed end Fund Discount written by Elroy Dimson and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Closed End Fund Discount Puzzle written by Urbi Garay and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic research has focused specifically on the enigmatic behavior of closed-end fund discounts, known in the literature as the closed-end fund discount puzzle. The extant evidence suggests that closed-end funds are issued at a premia with respect to their net asset values but typically trade at discounts thereafter, that the average closed-end fund trades at a significant discount relative to its net asset value, that discounts fluctuate widely over time and also across funds, and that closed-end fund prices converge to their net asset values when they are either liquidated or open-ended. Some of the theories that have been advanced attempting to explain the puzzle are efficient market based explanations and the Investor Sentiment Hypothesis. None of the theories, either individually or collectively, provide a sufficient explanation for the pricing of closed-end funds and, therefore, the enigma continues.
Download or read book Lecture Notes in Behavioral Finance written by Itzhak Venezia and published by World Scientific Publishing Company. This book was released on 2018-06-27 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents lecture notes for a course in behavioral finance, most suitable for MBA students, but also adaptable for a PhD class. These lecture notes are based on the author's experience in teaching behavioral finance classes at Bocconi University (at the PhD level) and at the Academic College of Tel Aviv-Yaffo (MBA).Written in a way that is user-friendly for both teachers and students, this book is the first of its kind and consolidates all the material necessary for a course on behavioral finance, balancing psychological concepts with financial applications. Material formerly presented only in academic papers has been transformed to a format more suitable for students, while the most important issues have been highlighted in boxes that can form the basis of a lecturer's teaching slides.In addition to corralling all the currently scattered materials into one book, a neat logical order is introduced to the subject matter. Behavioral finance is put in a context relative to the other disciplines of finance, its history is outlined and the way it evolved -- from an eclectic collection of counter examples to market efficiency into a bona fide discipline of finance -- is reviewed and explained.The 17 topic-based chapters in this book are each intended for a 90-minute lecture. The first five chapters (Part 1) provide the psychological and financial foundations of behavioral finance. The next 12 chapters (Part 2) are applications: Chapters 6-13 cover the essentials while Chapters 14-17 are special, elective topics.
Download or read book Chinese Closed End Fund Discount Investor Sentiment and Stock Return written by Tao Zhang and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The cause of closed-end fund discounts is still a puzzle to finance academia. This paper uses Chinese closed-end fund data to examine whether the closed-end fund discounts can reflect the individual investor sentiment and predict returns of size decile portfolios. Our results show there is no significant relationship between fund discounts and size decile portfolios returns for a time period from October 1998 to March 2002. And in general, fund discounts can not predict the stock returns. Our evidence in the Chinese stock market does not support the investor sentiment hypothesis.
Download or read book Investor Sentiment Closed end Fund Discounts and the Predictability of Small Firm Returns written by Bhaskaran Swaminathan and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Fear and Closed end Fund Discounts written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Download or read book An Empirical Investigation of the Investor Sentiment Hypothesis on Closed end Country Fund Discounts and Premiums written by Sungwon Suh and published by . This book was released on 1993 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Sentiment and the Closed End Fund Evidence written by David C. Leonard and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the monthly comovement of closed-end fund and small firm returns. In this paper we attribute most of the comovement to a January seasonal, and empirical regularity undetected in earlier studies that argue thatinvestor sentiment is priced in a segmented capital market. Although our empirical tests for the period from July 1965 to March 1980 detect a statistically significant comovement in months other than January, this comovement vanished during the period from April 1980 to December 1994.
Download or read book Assessing the Relationship of Investor Sentiment and Herding and the Closed End Fund Discount Cycle written by Alexander E. Halliday and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Management written by Stephen Satchell and published by Springer. This book was released on 2016-09-20 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.
Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.
