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Closed-End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums
13 references·16 citing·30 second hop
Closed-End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums (1988)Closed-End Fund Shares' Abnormal Returns …The Adjustment of Stock Prices to New Information (2003)The Adjustment of Stock Price…Predicting takeover targets (1986)Predicting takeover targetsPartially anticipated events: A model of stock price reactions with an application to corporate acquisitions (1985)Partially anticipated events:…Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns (1985)Lifting the Lid on Closed-End…‘Open-ending’ closed-end funds (1984)‘Open-ending’ closed-end fundsThe information content of discounts and premiums on closed-end fund shares (1978)The information content of di…INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS (1977)INVESTMENT PERFORMANCE OF COM…Foundations of Finance. (1977)Foundations of Finance.Special Information and Insider Trading (1974)Special Information and Insid…Risk and return: The case of merging firms (1974)Risk and return: The case of …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The Adjustment of Stock Prices to New Information (1969)The Adjustment of Stock Price…ETF Premiums and Liquidity Segmentation (2018)ETF Premiums and Liquidity Se…The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium (2012)The Secondary Market for Hedg…Information, sophistication, and foreign versus domestic investors’ performance (2009)Information, sophistication, …The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium (2008)The Secondary Market for Hedg…The Limits of Arbitrage: Evidence from Exchange Traded Funds (2004)The Limits of Arbitrage: Evid…The Closed-End Fund Discount (2002)The Closed-End Fund DiscountAgency Conflicts in Closed-End Funds: The Case of Rights Offerings (2002)Agency Conflicts in Closed-En…International Portfolio Investment: Theory, Evidence, and Institutional Framework (2001)International Portfolio Inves…Closed-End Fund Discounts with Informed Ownership Differential (2001)Closed-End Fund Discounts wit…Noise Trader Risk in Financial Markets (2000)Noise Trader Risk in Financia…A Model of Investor Sentiment (2000)A Model of Investor SentimentThe Pricing of Country Funds from Emerging Markets: Theory and Evidence (1998)The Pricing of Country Funds …INVESTOR TAX‐TRADING OPPORTUNITIES AND DISCOUNTS ON CLOSED‐END MUTUAL FUNDS (1994)INVESTOR TAX‐TRADING OPPORTUN…What Moves the Discount on Country Equity Funds? (1993)What Moves the Discount on Co…A RE‐EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED‐END FUND DISCOUNTS AND EXPENSES (1992)A RE‐EXAMINATION OF THE RELAT…Return Seasonality in Stocks and Their Underlying Assets: Tax-Loss Selling Versus Information Explanations (1990)Return Seasonality in Stocks …The market for corporate control (1983)An Approach to Statistical Inference in Cross-Sectional Models with Security Abnormal Returns As Dependent Variable (1986)The Hubris Hypothesis of Corporate Takeovers (1986)Antecedents and Outcomes of Corporate Refocusing (1996)Terrorism-induced structural shifts in financial risk: airline stocks in the aftermath of the September 11th terror attacks (2004)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Size-related anomalies and stock return seasonality (1983)The Capital Asset Pricing Model: Theory and Evidence (2004)… and the Cross-Section of Expected Returns (2015)Dividend Policy, Growth, and the Valuation of Shares (1961)Efficient Capital Markets: II (1991)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)The impact of industry shocks on takeover and restructuring activity (1996)Assessing the Probability of Bankruptcy (2004)Determinants of weaknesses in internal control over financial reporting (2007)Efficient Capital Markets: II (1991)Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Are Insider Trades Informative? (2001)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Measuring security price performance (1980)Strategic Factor Markets: Expectations, Luck, and Business Strategy (1986)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1969The Adjustment of Stock Prices to New Information3,625 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 2003The Adjustment of Stock Prices to New Information3,063 cited
  • 1977INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS2,562 cited
  • 1986Predicting takeover targets1,311 cited
  • 1974Special Information and Insider Trading1,236 cited
  • 1977Foundations of Finance.1,128 cited
  • 1974Risk and return: The case of merging firms869 cited
  • 1985Partially anticipated events: A model of stock price reactions with an application to corporate acquisitions302 cited
  • 1978The information content of discounts and premiums on closed-end fund shares207 cited
  • 1985Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns140 cited
  • 1984‘Open-ending’ closed-end funds128 cited

Cited by

  • 2012The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium96 cited
  • 1993What Moves the Discount on Country Equity Funds?

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84 cited
  • 2009Information, sophistication, and foreign versus domestic investors’ performance78 cited
  • 1990Return Seasonality in Stocks and Their Underlying Assets: Tax-Loss Selling Versus Information Explanations72 cited
  • 2001International Portfolio Investment: Theory, Evidence, and Institutional Framework69 cited
  • 2000Noise Trader Risk in Financial Markets67 cited
  • 1998The Pricing of Country Funds from Emerging Markets: Theory and Evidence65 cited
  • 2008The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium64 cited
  • 1992A RE‐EXAMINATION OF THE RELATIONSHIP BETWEEN CLOSED‐END FUND DISCOUNTS AND EXPENSES57 cited
  • 2000A Model of Investor Sentiment46 cited
  • 2001Closed-End Fund Discounts with Informed Ownership Differential41 cited
  • 2004The Limits of Arbitrage: Evidence from Exchange Traded Funds38 cited
  • 2002The Closed-End Fund Discount36 cited
  • 1994INVESTOR TAX‐TRADING OPPORTUNITIES AND DISCOUNTS ON CLOSED‐END MUTUAL FUNDS34 cited
  • 2018ETF Premiums and Liquidity Segmentation32 cited
  • 2002Agency Conflicts in Closed-End Funds: The Case of Rights Offerings30 cited