Noise Trading, Costly Arbitrage, and Asset Prices: Evidence from Closed‐end Funds

By G. Gemmill, Dylan C. Thomas. 2002

261 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/b908d994ce0d699dbc5bf336c34bd9338732471c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Richard Stanton
2. Jacob S. Sagi
3. Jonathan B. Berk
4. M. Cherkes
5. Berk A. Sensoy
6. Stephan Jank

In Finance

1. Richard Stanton
2. Jacob S. Sagi
3. Jonathan B. Berk
4. M. Cherkes
5. Baruch Lev
6. Sarah E. McVay
7. Peter R. Demerjian
8. Berk A. Sensoy

In Strategy and Management

1. Richard Stanton
2. Jacob S. Sagi
3. Jonathan B. Berk
4. M. Cherkes

Citations in the corpus

• The Risk and Return of Arbitrage in Dual-Listed Companies (2009, unknown): “1 Empirical studies include Pontiff (1996) and Gemmill and Thomas (2002) on closed-end funds; Mitchell, Pulvino, and Stafford (2002) on “negative stub value” situations; Lamont and Thaler (2003)”
• A Liquidity-Based Theory of Closed-End Funds (2009, background): “The former is consistent with the findings of Gemmill and Thomas (2002) and Ross (2002a).”
• Managerial Ability, Compensation, and the Closed‐End Fund Discount (2007, background): “Gemmill and Thomas (2002) and Ross (2002a) show that if the fund pays out a fraction γ to investors each year and pays fractional management fees of δ each year, the discount is 5 δ γ + δ .”
• Activist arbitrage: A study of open-ending attempts of closed-end funds (2010, unknown): “shown by Malkiel (1977), Barclay, Holderness, and Pontiff (1993), Gemmill and Thomas (2002), and Del Guercio, Dann, and Partch (2003).”
• Arbitrage Crashes and the Speed of Capital (2012, unknown): “A host of papers provide various rational market and behavioral explanations for the CEF discount (among others, see the work by Malkiel (1977), Lee, Shleifer and Thaler (1991), Pontiff (1996), Gemmill and Thomas (2002), Ross (2002), and Berk and Stanton (2007)).”
• Comovement and Predictability Relationships Between Bonds and the Cross-section of Stocks (2012, unknown): “Malkiel (1977) and Gemmill and Thomas (2002) find that mutual fund flows are closely related to closed-end fund discounts, another asset class that is disproportionately held by individuals.”