Costly Arbitrage: Evidence from Closed-End Funds
利用封闭式基金数据，发现套利成本会导致基金价格偏离资产价值，偏离程度与资产复制难度、股息大小、基金市值和利率水平相关，这些因素解释了四分之一的价格偏差变化。
Arbitrage costs lead to large deviations of prices from fundamentals. Using a sample of closed-end funds, I find that the market value of a fund is more likely to deviate from the value of its assets (1) for funds with portfolios that are difficult to replicate, (2) for funds that pay out smaller dividends, (3) for funds with lower market values, and (4) when interest rates are high. These factors are related to the magnitude of the deviation, as opposed to the direction (i.e., whether discount or premium), and explain a quarter of cross-sectional mispricing variation. These findings are consistent with noise trader models of asset pricing.