Ji, Philip Inyeob; Kim, Sangbae - In: Applied Economics 45 (2013) 32, pp. 4503-4515
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...