Journal of Financial Markets, Volume 33, March 2017, Pages 124–142

卖空和封闭式基金定价

作者™️：Gordon J. Alexander (Carlson School of Management, University of Minnesota), Mark A. Peterson (College of Business, Southern Illinois University)

摘要：本文研究在2010至2015年间，卖空交易对美国市场封闭式基金定价的影响🧑🏽‍🏭。溢价与折价基金都存在显著的卖空行为🍋，并随溢价的上升而增加🔩。卖空量更大的基金在未来五天经历显著的溢价下跌。我们的研究验证了封闭式基金定价理论✖️，并与Ross（2002），Berk和Stanton（2007）🫵🏽🤹🏼‍♂️，及Cherkes、Sagi和Stanton（2009）描述的封闭式基金定价新古典主义理论一致⚓️♜。

关键词🏋🏼🙇🏻‍♀️：封闭式基金🕑👨🏽‍🦱；卖空

Short selling and the pricing of closed-end funds

Gordon J. Alexander (Carlson School of Management, University of Minnesota), Mark A. Peterson (College of Business, Southern Illinois University)

ABSTRACT

We analyze how short selling affects the pricing of U.S. closed-end funds over the 2010–2015 time period. Significant short selling is found in both premium and discount funds and increases as premiums rise. Funds with greater short selling experience significant declines in premiums over the next five days. Our analysis speaks to theories of closed-end fund pricing and is consistent with the neoclassical theory of closed-end fund pricing as described by Ross (2002), Berk and Stanton (2007), and Cherkes, Sagi, and Stanton (2009).

Keywords🕒：Closed-end funds; Short selling

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418115301191

翻译：黄怡文