Impact of liquidity on premia/discounts in closed-end funds
This paper examines the impact of market liquidity on the premia/discounts in closed-end funds. The central conjecture is that premia (discounts) are observed when claims issued by the fund are more (less) liquid than the underlying assets. The empirical results strongly support the liquidity conjec...
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| Veröffentlicht in: | The Quarterly review of economics and finance 2001-04, Vol.41 (1), p.119-135 |
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| creator | Datar, Vinay |
| description | This paper examines the impact of market liquidity on the premia/discounts in closed-end funds. The central conjecture is that premia (discounts) are observed when claims issued by the fund are more (less) liquid than the underlying assets. The empirical results strongly support the liquidity conjecture: funds with higher liquidity, as measured by proxies for trading activity, have higher premia (or lower discounts) than funds with lower liquidity. This relationship is observed in equity funds as well as in bond funds. Further, the results are robust to various assumptions about model parameters and error structures. Overall, the liquidity hypothesis is supported in our data and may offer a richer description of the premia/discount phenomenon in conjunction with existing hypotheses. |
| doi_str_mv | 10.1016/S1062-9769(00)00065-X |
| format | Article |
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Overall, the liquidity hypothesis is supported in our data and may offer a richer description of the premia/discount phenomenon in conjunction with existing hypotheses.</description><subject>Closed end funds</subject><subject>Equity funds</subject><subject>Hypotheses</subject><subject>Liquidity</subject><subject>Mathematical models</subject><subject>Statistical analysis</subject><subject>Studies</subject><issn>1062-9769</issn><issn>1878-4259</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2001</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkEtLLDEQhRtR8PkThMaVLlorr55uXFxEfCK4UMFdiJUKRmY6PUm3MP_etON166JyanHOqfAVxSGDUwasPntiUPOqndXtMcAJANSqet0odlgzayrJVbuZ9_-W7WI3pY9sAiHlTnF-t-gNDmVw5dwvR2_9sCpDV_aRFt6cWZ8wjN2QSt-VOA-JbEWdLd3Y2bRfbDkzT3Two3vFy_XV8-Vt9fB4c3d58VChFDBUSAKISTTMCTTWubp54wqbpnYGQSpAQNPMqFXOcslnyIVRjawZSbBMKbFXHK17-xiWI6VBf4Qxdvmk5kyIlot2Mqm1CWNIKZLTffQLE1eagZ4w6W9MemKgAfQ3Jv2ac_frXKSe8DdERMvREAb9qYWRLD-rPBxgWn2eSftJWauZUPp9WOSyf-syyjg-PUWd0FOHZH0kHLQN_o_vfAEjgofZ</recordid><startdate>20010401</startdate><enddate>20010401</enddate><creator>Datar, Vinay</creator><general>Elsevier Inc</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope></search><sort><creationdate>20010401</creationdate><title>Impact of liquidity on premia/discounts in closed-end funds</title><author>Datar, Vinay</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c430t-ce30e14ca1f3cadff68b25c886fac0450c0ca87e95fd2427c23a58461e40d1553</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2001</creationdate><topic>Closed end funds</topic><topic>Equity funds</topic><topic>Hypotheses</topic><topic>Liquidity</topic><topic>Mathematical models</topic><topic>Statistical analysis</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Datar, Vinay</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><jtitle>The Quarterly review of economics and finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Datar, Vinay</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Impact of liquidity on premia/discounts in closed-end funds</atitle><jtitle>The Quarterly review of economics and finance</jtitle><date>2001-04-01</date><risdate>2001</risdate><volume>41</volume><issue>1</issue><spage>119</spage><epage>135</epage><pages>119-135</pages><issn>1062-9769</issn><eissn>1878-4259</eissn><abstract>This paper examines the impact of market liquidity on the premia/discounts in closed-end funds. 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| language | eng |
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| source | RePEc; ScienceDirect Freedom Collection (Elsevier); Business Source Complete |
| subjects | Closed end funds Equity funds Hypotheses Liquidity Mathematical models Statistical analysis Studies |
| title | Impact of liquidity on premia/discounts in closed-end funds |
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