Investor Sentiment and the Closed‐End Fund Puzzle
检验了封闭式基金折价波动由个人投资者情绪驱动的理论，发现不同基金折价同步变动、新基金在溢价或小折价时成立，且折价与小盘股表现相关。
ABSTRACT This paper examines the proposition that fluctuations in discounts of closed‐end funds are driven by changes in individual investor sentiment. The theory implies that discounts on various funds move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts are correlated with prices of other securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that both closed‐end funds and small stocks tend to be held by individual investors, and that the discounts on closed‐end funds narrow when small stocks do well.