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- W2586504970 abstract "We develop and test a rational model of discounts that takes account of conditional expectations about fund lives. Previous research has assumed that lives are very long, implying unrealistically large discounts. We find that expected lives are short: 10 years or less up to the age of five, then rising slowly to a plateau of 18 years. If dividends are paid, weighted-average lives are even shorter. The model is calibrated to the first 20 years of a fund’s life and tested with cross-section data from the UK and US. We conclude that life-expectancy plays a central role in explaining discounts, but it is not sufficient (by itself) to explain the premia on new issues." @default.
- W2586504970 created "2017-02-17" @default.
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- W2586504970 date "2017-01-01" @default.
- W2586504970 modified "2023-09-30" @default.
- W2586504970 title "Fund Mortality and Fair Discounts on Closed-End Funds" @default.
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- W2586504970 doi "https://doi.org/10.2139/ssrn.2910842" @default.
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