Do closed-end fund investors herd?

被引：28

作者：

Cui, Yueting ^{[1
]}

Gebka, Bartosz ^{[2
]}

Kallinterakis, Vasileios ^{[1
]}

机构：

[1] Univ Liverpool, Management Sch, Chatham Bldg,Chatham St, Liverpool L69 7ZH, Merseyside, England

[2] Newcastle Univ, Business Sch, 5 Barrack Rd, Newcastle Upon Tyne NE1 4SE, Tyne & Wear, England

来源：

JOURNAL OF BANKING & FINANCE | 2019年 / 105卷

关键词：

Closed-end funds; Herding; Discounts; Sentiment; INVESTMENT STRATEGIES; STOCK MARKETS; BEHAVIOR; PERFORMANCE; VOLATILITY; DISCOUNTS; SENTIMENT; IMPACT; MODEL; PRICE;

D O I：

10.1016/j.jbankfin.2019.05.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We provide the first investigation of herding among closed-end fund investors, drawing on the US closed end fund market for the 1992-2016 period. Results suggest closed-end fund investors herd significantly, with their herding being mainly driven by non-fundamentals. Closed-end fund herding rises in economic/market uncertainty, with its significance being mainly concentrated in the post-2007 period. Herding among closed-end funds is strongly motivated by discounts, is more pronounced than that among their net asset values and tends to grow inversely with fund-size. The fact that closed-end fund herding is noise-driven and linked to their discounts raises the possibility that it is related to the noise trader risk attributed to closed-end funds by investor sentiment theory. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：194 / 206

页数：13

共 50 条

[1] The Different Analysis of the Sentiment of Investors and the Closed-end Fund Discount (premium)
Tong, Yang
2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE), 2010, : 385 - 388
[2] CLOSED-END FUND DISCOUNTS
DELONG, JB
SHLEIFER, A
JOURNAL OF PORTFOLIO MANAGEMENT, 1992, 18 (02): : 46 - 53
[3] CONSIDER A CLOSED-END FUND
MICHELS, AJ
FORTUNE, 1995, 131 (09) : 130 - 133
[4] Closed-end fund strategy
Clash, JM
FORBES, 1997, 160 (05): : 206 - 207
[5] How to buy a closed-end fund
Easton, T
FORBES, 1998, 162 (05): : 230 - 231
[6] Fear and Closed-End Fund discounts
Anderson, S.
Beard, T. R.
Kim, H.
Stern, L. V.
APPLIED ECONOMICS LETTERS, 2013, 20 (10) : 956 - 959
[7] An Empirical Study on Closed-end Fund Discounts in China: On a framework of Investors' Sentiment Index
Wang Kaitao
RECENT ADVANCE IN STATISTICS APPLICATION AND RELATED AREAS, VOLS I AND II, 2009, : 2314 - 2318
[8] The Structure of Closed-End Fund Discounts
Niendorf, Bruce D.
Beck, Kristine L.
JOURNAL OF INVESTING, 2007, 16 (03): : 89 - 95
[9] Canadian Investors and the Discount on Closed-End Funds
Mohamed A. Ayadi
Hatem Ben-Ameur
Skander Lazrak
Yue Wang
Journal of Financial Services Research, 2013, 43 : 69 - 98
[10] Canadian Investors and the Discount on Closed-End Funds
Ayadi, Mohamed A.
Ben-Ameur, Hatem
Lazrak, Skander
Wang, Yue
JOURNAL OF FINANCIAL SERVICES RESEARCH, 2013, 43 (01) : 69 - 98

← 1 2 3 4 5 →