Mean-reversion in closed-end fund discount: Evidence from half-life

Inyeob Philip Ji, Sangbae Kim

    Research output: Contribution to journalArticleResearchpeer-review

    Abstract

    This article examines the mean-reversion properties of the discount on UK and US closed-end funds. While the discounts are tested I(1), strong statistical evidence of mean-reversion is ascertained by bias-corrected bootstrap half-life estimates. The estimates also indicate that equity-based funds converge to the steady-state level faster than fixed income funds. In addition, although an equilibrium pricing condition postulates an inverse relation between half-life and the discount size, correlation estimates fail to show strong support for the relation.
    Original languageEnglish
    Pages (from-to)4503 - 4515
    Number of pages13
    JournalApplied Economics
    Volume45
    Issue number32
    DOIs
    Publication statusPublished - 2013

    Cite this

    Ji, Inyeob Philip ; Kim, Sangbae. / Mean-reversion in closed-end fund discount: Evidence from half-life. In: Applied Economics. 2013 ; Vol. 45, No. 32. pp. 4503 - 4515.
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    Mean-reversion in closed-end fund discount: Evidence from half-life. / Ji, Inyeob Philip; Kim, Sangbae.

    In: Applied Economics, Vol. 45, No. 32, 2013, p. 4503 - 4515.

    Research output: Contribution to journalArticleResearchpeer-review

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