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dc.contributor.authorWang, Yueen_US
dc.date.accessioned2010-03-09T20:22:57Z
dc.date.available2010-03-09T20:22:57Z
dc.date.issued2010-03-09T20:22:57Z
dc.identifier.urihttp://hdl.handle.net/10464/2939
dc.description.abstractSmall investors' sentiment has been proposed by behaviouralists to explain the existence and behavior of discount on closed-end funds (CEFD). The empirical tests of this sentiment hypothesis so far provide equivocal results. Besides, most of out-of-sample tests outside U.S. are not robust in the sense that they fail to well control other firm characteristics and risk factors that may explain stock return and to provide a formal cross-sectional test of the link between CEFD and stock return. This thesis explores the role of CEFD in asset pricing and further validates CEFD as a sentiment proxy in Canadian context and augments the extant studies by examining the redemption feature inherent in Canadian closed-end funds and by enhancing the robustness of the empirical tests. Our empirical results document differential behaviors in discounts between redeemable funds and non-redeemable funds. However, we don't find supportive evidence of CEFD as a priced factor. Specifically, the stocks with different exposures to CEFD fail to provide significantly different average return. Nor does CEFD provide significant incremental explanatory power, after controlling other well-known firm characteristics and risk factors, in cross-sectional as well as time-series variation of stock return. This evidence, together with the findings from our direct test of CEFD as a sentiment index, suggests that CEFD, even the discount on traditional non-redeemable closed-end funds, is unlikely to be driven by elusive sentiment in Canada.en_US
dc.language.isoengen_US
dc.publisherSt. Catharines, Ont. : Brock University, Dept. of Management, 2010.en_US
dc.subjectClosed-end funds.en_US
dc.subjectStockholders--Canada.en_US
dc.subjectStocks--Pricesen_US
dc.titleCanadian investors and the discount on closed-end fundsen_US
dc.typeElectronic Thesis or Dissertationen_US
dc.degree.nameM.Sc. Managementen_US
dc.degree.levelMastersen_US
dc.contributor.departmentFaculty of Business Programsen_US
dc.degree.disciplineFaculty of Businessen_US


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