Excess Volatility and UK Investment Trusts
研究英国投资信托的回报波动是否超过其持有资产，发现尽管机构投资者占主导，仍存在类似美国的过度波动，且大盘信托的过度波动更明显，投资者情绪是主要影响因素。
Abstract: The issue of whether or not asset prices are more volatile than the underlying fundamentals is an empirical question with implications for market efficiency. Recent research suggests that the volatility of closed end fund returns in the USA is significantly higher than the returns on assets held by the funds. This has been attributed to noise trading as closed‐end fund shares are predominantly held by individual investors. This study demonstrates that UK investment trust returns exhibit similar excess volatility in spite of the prevalence of institutional investors. However, big investment trusts in terms of market capitalisation show greater excess volatility than small trusts. Although most of the excess volatility appears to be idiosyncratic, investor sentiment index is the most important variable associated with residual returns.