Investor Sentiment and the Closed-End Fund Puzzle
检验了封闭式基金折价率变化由个人投资者情绪驱动的理论，发现不同基金折价同步变动、新基金在溢价时成立，且折价与小盘股表现联动，表明情绪影响证券收益。
This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.