RT Journal Article
SR Electronic
T1 A Rational Basis for Closed–End Fund Discounts
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 37
OP 42
DO 10.3905/jai.2000.318952
VO 3
IS 2
A1 G. Glenn Baigent
YR 2000
UL https://pm-research.com/content/3/2/37.abstract
AB Baigent [1999] suggests that the discounts on closed–end fund shares might be the result of the Bayesian learning process of less informed investors, so that the discounts are rational. Empirical tests show that the prices of closed–end fund shares can be explained by lagged fund share value, the NAV, and trading volume, similar to a Bayesian process. Results also show that the volatility of closed–end fund shares is lower than for the underlying portfolio so that the noise trader risk argument is challenged.