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Canadian investors and the discount on closed-end funds

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dc.contributor.author Wang, Yue en_US
dc.date.accessioned 2010-03-09T20:22:57Z
dc.date.available 2010-03-09T20:22:57Z
dc.date.issued 2010-03-09T20:22:57Z
dc.identifier.uri http://hdl.handle.net/10464/2939
dc.description.abstract Small 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.iso eng en_US
dc.publisher St. Catharines, Ont. : Brock University, Dept. of Management, 2010. en_US
dc.subject Closed-end funds. en_US
dc.subject Stockholders--Canada. en_US
dc.subject Stocks--Prices en_US
dc.title Canadian investors and the discount on closed-end funds en_US
dc.type Electronic Thesis or Dissertation en_US
dc.degree.name M.Sc. Management en_US
dc.degree.level Masters en_US
dc.contributor.department Faculty of Business Programs en_US
dc.degree.discipline Faculty of Business en_US


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