The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium
利用对冲基金二级市场的新数据，发现封闭式对冲基金溢价与封闭式共同基金溢价高度相关，且理性理论中的变量能很好解释该溢价，而情绪解释未获数据支持。
ABSTRACT Rational theories of the closed‐end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed‐hedge fund premium that is highly correlated with the closed‐end mutual fund premium, and shows that the closed‐hedge fund premium is well explained by variables suggested by rational theories. Sentiment‐based explanations do not find support in the data.