Abstract

http://ssrn.com/abstract=395888
 
 

Citations



 


 



Evidence on the Mean-Reverting Tendencies of Closed-End Fund Discounts


Dominic Gasbarro


Murdoch University

Richard David Johnson


Colorado State University

J. Kenton Zumwalt


Colorado State University - Department of Finance & Real Estate


Financial Review, Vol. 38, No. 2, May 2003

Abstract:     
Closed-end fund (CEF) discounts vary widely over time due to changes in share price, net asset value (NAV), or both. Prior studies suggest discounts are mean reverting. We examine the mean-reversion issue by employing cointegration procedures. Specifically, we identify bond and equity CEFs that exhibit stationary time-series properties and find statistically significant error correction terms that quantify the speed of mean reversion. The results indicate that mean reversion is caused by changes in both share price and NAVs. However, CEFs can only provide excess returns when the discount narrows due to share price increases.

Accepted Paper Series





Not Available For Download

Date posted: July 21, 2003  

Suggested Citation

Gasbarro, Dominic and Johnson, Richard David and Zumwalt, J. Kenton, Evidence on the Mean-Reverting Tendencies of Closed-End Fund Discounts. Financial Review, Vol. 38, No. 2, May 2003. Available at SSRN: http://ssrn.com/abstract=395888

Contact Information

Dominic Gasbarro (Contact Author)
Murdoch University ( email )
South Street
Murdoch 6150, Western Australia
Australia
Richard David Johnson
Colorado State University ( email )
Fort Collins, CO 80523
United States
J. Kenton Zumwalt
Colorado State University - Department of Finance & Real Estate ( email )
Fort Collins, CO 80523
United States
Feedback to SSRN


Paper statistics
Abstract Views: 805

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 1.032 seconds