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- W1992353585 abstract "Closed-end funds' discounts contain information in the sense that they can be used to construct portfolios that earn returns exceeding those predicted by the two-factor capital asset pricing model. The precise nature of the information contained in a discount is not clear, however. This paper provides evidence that the information contained in a discount is an incomplete prediction of the fund's likelihood of being open-ended profitably. THOMPSON [18] INVESTIGATED THE EXTENT to which closed-end funds' share price discounts and premiums relative to net asset value convey useable information about future rates of return on the funds' shares. He found that an ad hoc strategy of investing in portfolios of stocks selling at discounts significantly outperformed the returns predicted by the Black [3] two-factor asset pricing model. In other words, closed-end fund discounts and premiums do contain information about future returns in addition to that captured by the benchmark model. The precise nature of the information contained in the discounts and premiums is a mystery, however. This paper presents and tests a model of the information content of closedend fund discounts and premiums based upon the prospects for a form of organizational restructuring known as open-ending. The term refers to a set of techniques for forcing a closed-end fund's share price to its traditionally higher net asset value: converting the fund to an open-end fund, merging the fund with an open-end fund, or liquidating the fund's assets and distributing the proceeds to the shareholders. While both Brauer [4] and Brickley and Schallheim [5] have shown that actual open-endings involve significant benefits to shareholders, the focus of this paper is on the valuation effects of the potential for open-ending. The analysis shows that the probability of profitably open-ending a fund should affect the fund's market value, that the discount is only one element in a larger information structure about the probability of openending, and that changes in this probability are not fully and immediately reflected in the share price. Section I introduces a straightforward model of the effect of open-ending potential on closed-end fund value. The model provides a compact expression for" @default.
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- W1992353585 date "1988-03-01" @default.
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- W1992353585 title "Closed-End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums" @default.
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- W1992353585 doi "https://doi.org/10.1111/j.1540-6261.1988.tb02592.x" @default.
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