Investor Reaction to Salient News in Closed‐End Country Funds
利用封闭式国家基金的价格和资产净值面板数据，研究发现平时价格对基本面变化反应不足，但《纽约时报》头版新闻出现时，价格反应更充分，弹性接近1。
ABSTRACT We use panel data on prices and net asset values to test whether dramatic country‐specific news affects the response of closed‐end country fund prices to asset value. In a typical week, prices underreact to changes in fundamentals; the (short‐run) elasticity of price with respect to asset value is significantly less than one. In weeks with news appearing on the front page of The New York Times , prices react much more; the elasticity of price with respect to asset value is closer to one. These results are consistent with the hypothesis that news events lead some investors to react more quickly.