Fear and Closed-End Fund discounts

被引：4

作者：

Anderson, S. ^{[1
]}

Beard, T. R. ^{[2
]}

Kim, H. ^{[2
]}

Stern, L. V. ^{[2
]}

机构：

[1] Tuskegee Univ, Dept Econ & Finance, Tuskegee, AL USA

[2] Auburn Univ, Dept Econ, Auburn, AL 36849 USA

来源：

APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 10期

关键词：

Closed-End Fund; discount; investor sentiment; Dynamic Conditional Correlation; common factor; C32; G01; G12;

D O I：

10.1080/13504851.2013.767969

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Closed-End Fund (CEF) discounts have intrigued researchers for decades. Of the many explanations offered, the behavioural framework of Lee et al. (1991), which posits noise traders subject to sentiment, is the most discussed. In this article, we contribute some novel evidence to the evaluation of this theory by examining the role of implied market volatility (VIX, i.e., the fear index') in fund discounts using a Dynamic Conditional Correlation (DCC) approach. We find that VIX has almost no role in determining discounts except during periods of extreme market turbulence, providing strong but indirect evidence for the sentiment story.

引用

页码：956 / 959

页数：4

共 19 条

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