The different analysis of the Sentiment of investors and the closed-end fund discount (premium)

摘要

Based on the judgment which Liquidity can measures the Sentiment of investors, this paper proves the hypothesis of “closed-end fund premium driven by investors'' sentiment” by validating the positive or negative correlation of the Closed-end fund premium or discount and the secondary market liquidity. This paper extends Baker & Stein (2002) “Investor Sentiment-mobility model” to closed-end fund market, and tested the “closed-end fund discount affected by investors'' emotion” hypothesis using market liquidity on behalf of closed-end fund investor sentiment. The analysis of the parallel data and Cross-section data confirmed the cross-section difference of closed-end fund discount is caused by the different of investor sentiment. The fund with a high sentiment has a higher premium or a lower discount.