RT Journal Article
SR Electronic
T1 Closed-End Equity Funds
JF The Journal of Investing
FD Institutional Investor Journals
SP 83
OP 92
DO 10.3905/joi.2000.319443
VO 9
IS 4
A1 Nusret Cakici
A1 Anthony Tessitore
A1 Nilufer Usmen
YR 2000
UL https://pm-research.com/content/9/4/83.abstract
AB Can discounts and premiums on closed-end equity funds be used to earn positive excess returns over a benchmark index? Research in the U.S. market has found that investors could have earned higher returns than a benchmark of U.S. stocks by purchasing shares of closed-end funds with discounts. This research examines an extensive sample of U.S. and U.K. listed closed-end funds September 4, 1998, through 1991, including transaction costs, an important element in evaluating portfolio performance that is absent from previous work. While long portfolios with deep discounts outperform a benchmark index, provided transaction costs are low, the surprise is that short portfolios with deep premiums outperform the benchmark and long portfolios, provided transaction costs are moderate to high.