Closed-endFundDiscountsandInvestorSentiment:EvidencefromU.K.InvestmentTrusts

• Main Authors: HUANG, PO-WEI, 黃伯偉
• Other Authors: CHANG, YUAN-CHEN
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/54835795560094791697

碩士 === 國立政治大學 === 財務管理研究所 === 94 === The closed-end funds discounts have been an interesting phenomenon for a long period. Some theories based on economic rationale try to solve the puzzle but fail to get consistent conclusions. Recently some theories based on behavioral finance, such as the investor sentiment hypothesis, have been proposed to solve this puzzle. This study examines the investor sentiment hypothesis based on various time-series tests and finds some interesting results. Briefly, our conclusions are as follows: 1. The discounts can vary widely between funds and seem to be persistent in our sample period. 2. The local market indices are cointegrated with the domestic closed-end funds discounts and the information is flowed from the market to the closed-end funds, which support the investor sentiment hypothesis. 3. The causality relationship between the foreign closed-end funds and the local indices is not obvious. Based on this, the market segmentation hypothesis seems to hold in our sample, which indicates that investing in the foreign funds provide investors with the benefit of diversification. For future researches, we suggest that more the foreign funds should be included in the sample and the classification of the degree of investor sentiment and the categories of funds can also be improved.