Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns
研究发现，当折价封闭式投资公司重组让股东获得资产市场价值时，股东获得可观收益，且重组公告后存在显著异常收益，这与市场效率假说不一致。
This study documents substantial gains accuring to shareholders of discounted closed-end investment companies when these funds are reorganized to allow shareholders to obtain the market value of the fund's assets. The findings indicate that the discounts on closedend funds are real, i.e., they are not the sole result of inaccurate reporting of the fund's net asset value. The study also documents significant abnormal returns after the announce? ment of management-sponsored proposals to reorganize. This finding is inconsistent with the joint hypothesis of market efficiency and that the market model (as estimated) is the correct return bench mark for funds undertaking reorganization.