Journal of Financial Economics Vol. 6 No. 2-3 1978
The information content of discounts and premiums on closed-end fund shares
Abstract
This paper investigates the extent to which discounts and premiums provide information about future expected rates of return on closed-end investment company shares. It is found that discounted fund shares, adjusted for risk, tended to outperform the market in the period 1940 to 1975. Funds selling at a premium appear to have been bad investments over the same time period. On the basis of these results it is argued that the two-parameter capital asset pricing model does not describe the return generating process of closed-end funds. Other potential areas to search for breakdowns in two-parameter pricing are suggested.
- DOI
- 10.1016/0304-405x(78)90028-4
- Volume
- 6
- Issue
- 2-3
- Pages
- 151-186
- Language
- en
- Sources
- bibtex:phds-export.bib crossref openalex