Around‐the‐Clock Performance of Closed‐End Funds
研究发现封闭式基金市场价格会预期净资产价值变动，且隔夜与日内回报存在强负自相关，可能源于专家开盘策略。
Herein, we find that the market price of closed‐end fund shares tends to increase (decrease) in anticipation of a rise (fall) in the net asset value (NAV). Similarly, an increase (decrease) in the reported NAV tends to be followed by a rise (fall) in the price of the fund's shares. Interestingly, we also find a powerful negative autocorrelation between closed‐end fund shares’ overnight and intraday returns in both univariate and multivariate tests for both the overall sample and a number of subsamples. We believe that this tendency results from the strategies that many specialists employ when they open their assigned shares.