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Around-the-Clock Performance of Closed-End Funds


  • We would like to thank the anonymous referee for the insightful critique that greatly improved our paper, and Bill Christie (the editor) for the valuable comments and suggestions. We thank our colleagues at the Isenberg School of Management, the University of Massachusetts Amherst and the Meinders School of Business, Oklahoma City University, and seminar participants at the 2006 CISDM Annual Conference, the 2007 Financial Management Association Annual Conference, and the 2007 Eastern Finance Association Annual Conference. We alone are responsible for any errors and omissions.


Herein, we find that the market price of closed-end fund shares tends to increase (decrease) in anticipation of a rise (fall) in the net asset value (NAV). Similarly, an increase (decrease) in the reported NAV tends to be followed by a rise (fall) in the price of the fund's shares. Interestingly, we also find a powerful negative autocorrelation between closed-end fund shares’ overnight and intraday returns in both univariate and multivariate tests for both the overall sample and a number of subsamples. We believe that this tendency results from the strategies that many specialists employ when they open their assigned shares.