Closed‐End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums
发现封闭式基金的折价可用于构建获得超额收益的投资组合，但折价所含信息并不完全预测基金能否盈利地转为开放式。
ABSTRACT Closed‐end funds' discounts contain information in the sense that they can be used to construct portfolios that earn returns exceeding those predicted by the two‐factor capital asset pricing model. The precise nature of the information contained in a discount is not clear, however. This paper provides evidence that the information contained in a discount is an incomplete prediction of the fund's likelihood of being open‐ended profitably.