A Liquidity-Based Theory of Closed-End Funds

231 citations recorded by the source corpus.

Citations in the corpus

Day of the week and the cross-section of returns (2018, unknown): “VIX is often referred to as the “investor fear gauge,” and is frequently used as a high-frequency measure of investor sentiment (e.g., Cherkes, Sagi, and Stanton, 2009; Kaplanski and Levy, 2010; Da, Engelberg, and Gao, 2015).”
The diminishing liquidity premium (2015, unknown): “Index funds and exchange-traded funds (ETFs) allow investors to buy and sell illiquid assets indirectly for low transaction costs (see a similar argument in Cherkes, Sagi, and Stanton (2008) in the context of closed-end funds).”
Country-Specific Sentiment and Security Prices (2011, unknown): “Differences in liquidity between the CCEF (the ADR) and its underlying asset have been argued to be an important determinant of CCEF (ADR) discounts (Cherkes, Sagi, and Stanton, 2009; and Chan, Hong, and Subrahmanyam, 2008).”
It Pays to Write Well (2017, unknown): “The positive estimate of Relative trading volume is consistent with the liquidity-based theory of CEFs that investors are willing to pay a premium for a CEF if the CEF has higher liquidity than its underlying assets (Cherkes, Sagi, and Stanton, 2009).”