TY - JOUR
T1 - Short selling and the pricing of closed-end funds
AU - Alexander, Gordon J.
AU - Peterson, Mark A.
PY - 2017/3
Y1 - 2017/3
N2 - We analyze how short selling affects the pricing of U.S. closed-end funds over the 2010–2015 time period. Significant short selling is found in both premium and discount funds and increases as premiums rise. Funds with greater short selling experience significant declines in premiums over the next five days. Our analysis speaks to theories of closed-end fund pricing and is consistent with the neoclassical theory of closed-end fund pricing as described by Ross (2002), Berk and Stanton (2007), and Cherkes, Sagi, and Stanton (2009).
AB - We analyze how short selling affects the pricing of U.S. closed-end funds over the 2010–2015 time period. Significant short selling is found in both premium and discount funds and increases as premiums rise. Funds with greater short selling experience significant declines in premiums over the next five days. Our analysis speaks to theories of closed-end fund pricing and is consistent with the neoclassical theory of closed-end fund pricing as described by Ross (2002), Berk and Stanton (2007), and Cherkes, Sagi, and Stanton (2009).
KW - Closed-end funds
KW - Short selling
UR - http://www.scopus.com/inward/record.url?scp=84995948260&partnerID=8YFLogxK
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U2 - 10.1016/j.finmar.2016.08.001
DO - 10.1016/j.finmar.2016.08.001
M3 - Article
AN - SCOPUS:84995948260
VL - 33
SP - 124
EP - 142
JO - Journal of Financial Markets
JF - Journal of Financial Markets
SN - 1386-4181
ER -