search query: @author Gemmill, G. / total: 8
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| Author: | Gemmill, G. Thomas, D. C. |
| Title: | Noise trading, costly arbitrage, and asset prices: evidence from closed-end funds |
| Journal: | Journal of Finance
2002 : DEC, VOL. 57:6, p. 2571-2594 |
| Index terms: | |
| Language: | eng |
| Abstract: | If arbitrage is costly and noise traders are active, asset prices may deviate from fundamental values for long periods of time. Thr authors use a sample of 158 closed-end funds to show that noise-trader sentiment, as proxied by retail-investor flows, leads to fluctuations in the discount. Nevertheles, they reject the hypothesis that noisetrader risk is the cause of the long-run discount. Instead, they find that funds which are more difficult to arbitrage have larger discounts, due to: (1) the |
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