Past Returns and Investment Trust Discounts
研究投资信托的过去净资产值回报如何影响当前折价，发现共同成分影响较弱，流动性高的信托影响更强，且折价波动范围与套利均衡一致。
Abstract: The relationship between past net asset value returns and the current discount on investment trusts is investigated. The relationship is weaker for the component that is common to all trusts in the same sector, and is significantly stronger for more liquid trusts. The time lag before returns have their full impact on discounts is consistent with the requirements of distinguishing ‘skill’ from noise. Although discounts vary widely even within the same sector, the range of variation appears to be consistent with an arbitrage equilibrium, in which the profits of exploiting apparent pricing anomalies are just insufficient to invite arbitrage trades.