Portfolios of stocks issued by small firms are well known to earn rates of return in excess of those commensurate with their market sensitivities. One common explanation for this phenomenon is that small firm stocks are riskier than large firm stocks because less information is available about the former than about the latter. A necessary condition for such an explanation to be valid is that the information effect not be eliminated by combining the individual stocks into portfolios. This paper uses jump-diffusion return models to gauge the impact of information by firm size. The results show that portfolios of small firm stocks are no more prone to information surprises than are portfolios of large firm stocks. However, portfolios of small firm stocks are found to react more severely than portfolios of large firm stocks when surprises do occur.

Open-ending a closed-end fund forces the price of the fund's shares to their net asset value. Open-ending behavior is shown to correspond in predictable ways to the incentive to open-end and to potential resistance to open-ending. Moreover, closed-end fund share prices begin to generate statistically significant positive abnormal returns well in advance of the formal announcement of the open-ending. Although a small part of the total abnormal return is not entirely exhausted until after the announcement, such market price performance is broadly consistent with a semi-strong form efficient market.

ABSTRACT Closed‐end funds' discounts contain information in the sense that they can be used to construct portfolios that earn returns exceeding those predicted by the two‐factor capital asset pricing model. The precise nature of the information contained in a discount is not clear, however. This paper provides evidence that the information contained in a discount is an incomplete prediction of the fund's likelihood of being open‐ended profitably.

Results of tests contrasting tax-loss selling with intertemporal information variation as explanations of the January seasonal in stock returns are reported. Closed-end fund shares display the typical size-related January seasonal while their net asset values do not. Interpreting the net asset value return as a proxy for information about underlying assets, this result indicates information variation is not a necessary condition for the January effect in stocks. The share returns at the turn of the year are negatively related to their mean preceding year returns and positively related to the standard deviations of their preceding year returns. These results are consistent with tax-loss selling.

[Results of tests contrasting tax-loss selling with intertemporal information variation as explanations of the January seasonal in stock returns are reported. Closed-end fund shares display the typical size-related January seasonal while their net asset values do not. Interpreting the net asset value return as a proxy for information about underlying assets, this result indicates information variation is not a necessary condition for the January effect in stocks. The share returns at the turn of the year are negatively related to their mean preceding year returns and positively related to the standard deviations of their preceding year returns. These results are consistent with tax-loss selling.]

Some closed-end country funds trade at large premiums relative to their net asset values. This paper examines whether international investment restrictions raise country fund price-net asset value ratios by segmenting international capital markets. We test whether a relation exists between announcements of changes in investment restrictions and changes in these ratios using weekly data from May 1981 to January 1989. The results provide evidence that some foreign markets are at least partially segmented from the U.S. capital market.

ABSTRACT Some closed‐end country funds trade at large premiums relative to their net asset values. This paper examines whether international investment restrictions raise country fund price‐net asset value ratios by segmenting international capital markets. We test whether a relation exists between announcements of changes in investment restrictions and changes in these ratios using weekly data from May 1981 to January 1989. The results provide evidence that some foreign markets are at least partially segmented from the U.S. capital market.