Using a sample of equity closed-end funds, we document significant portfolio holdings disclosure valuation effects and strategic disclosure timing by portfolio managers. An event study analysis reveals statistically significant positive (negative) abnormal returns associated with early (late)...

We introduce a novel methodology to identify copycat behavior in mutual funds. We find that imitation is pervasive in the mutual fund industry. While most copycats underperform, a small number are 'smart imitators'. We find that funds at the high and low ends of the Copycat Score range...

We develop a liquidity premium microstructure model that links the closed-end fund (CEF) premiums to the interplay between the fund's bid-ask spread and that of its holdings. We test the liquidity premium hypothesis against a host of competing determinants that include a battery of investor...

We theoretically establish a market microstructure bias embedded in the estimate of industry-adjusted idiosyncratic variance and empirically show that the bid-ask spread eliminates the observed time trend in aggregate idiosyncratic variance (Campbell, Lettau, Malkiel, and Xu, 2001). These...

A number of competing explanations have been offered as a rationale for the trend in idiosyncratic variance that has been experienced over the past four decades. We establish a theoretical model linking a market microstructure bias with the industry-adjusted idiosyncratic variance (Campbell,...

This paper models a market microstructure bias, driven by the bid-ask spread, that is evident in the pricing of aggregate firm-level risk embodied by the stock return variance estimates of Goyal and Santa-Clara (2003). Controlling for this bias, we find no pricing ability for aggregate...

This paper examines data from 45 world markets and shows that the previously documented relation between mean returns and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid-ask bounce in trade prices. We show that no significant relation...

We examine the cross-sectional relation between idiosyncratic volatility and stock returns and propose that the joint effect of the percentage of zero returns, that affects the loading on the systematic risk factors, and the bid-ask spread, that inflates the variance of the returns, biases the...

We examine the cross-sectional relation between idiosyncratic volatility (IV) and stock returns and propose that the percentage of zero returns and its effect on IV measurement is a missing component in the ongoing analysis of the pricing of IV. We find the results of Spiegel and Wang (2005) and...