Past Returns and Investment Trust Discounts

20 Pages Posted: 29 Nov 2004

See all articles by Michael Bleaney

Michael Bleaney

University of Nottingham - School of Economics


The relationship between past net asset value returns and the current discount on investment trusts is investigated. The relationship is weaker for the component that is common to all trusts in the same sector, and is significantly stronger for more liquid trusts. The time lag before returns have their full impact on discounts is consistent with the requirements of distinguishing 'skill' from noise. Although discounts vary widely even within the same sector, the range of variation appears to be consistent with an arbitrage equilibrium, in which the profits of exploiting apparent pricing anomalies are just insufficient to invite arbitrage trades.

Suggested Citation

Bleaney, Michael, Past Returns and Investment Trust Discounts. Available at SSRN:

Michael Bleaney (Contact Author)

University of Nottingham - School of Economics ( email )

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