A Liquidity-Based Theory of Closed-End Funds
提出一个理性、基于流动性的封闭式基金模型，解释其存在动机、IPO浪潮、溢价发行及后续折价交易等现象，实证支持流动性解释优于情绪解释。
This paper develops a rational, liquidity-based model of closed-end funds (CEFs) that provides an economic motivation for the existence of this organizational form: They offer a means for investors to buy illiquid securities, without facing the potential costs associated with direct trading and without the externalities imposed by an open-end fund structure. Our theory predicts the patterns observed in CEF initial public offerings (IPOs) and the observed behavior of the CEF discount, which results from a trade-off between the liquidity benefits of investing in the CEF and the fees charged by the fund’s managers. In particular, the model explains why IPOs occur in waves in certain sectors at a time, why funds are issued at a premium to net asset value (NAV), and why they later usually trade at a discount. We also conduct an empirical investigation, which, overall, provides more support for a liquidity-based model than for an alternative sentiment-based explanation.. A closed-end fund (CEF) is a publicly traded firm that invests in securities. While investors can, in principle, trade either in the CEF’s shares or directly in the underlying securities, a CEF rarely trades at a price equal to the value