Both size effect and liquidity effect in stock returns have been documented extensively in the literature. Since firm size and stock liquidity are closely correlated, it is generally difficult to disentangle these two effects. The Chinese stock market offers a unique opportunity to address this...

This paper analyzes the time-series dynamics of closed-end fund discounts and their relation to portfolio performance and manager turnover. We find that a fund underperforms its peer group prior to manager replacement, but improves afterwards. We also find that, prior to replacement, the...

We develop a continuous-time model in which a portfolio manager is hired by a management company. Based on observed portfolio returns, all agents update their beliefs about the manager's skills. In response, investors can move capital into or out of the mutual fund and the management company can...

We develop a continuous-time model in which a portfolio manager is hired by a management company. Based on observed portfolio returns, all agents update their beliefs about the manager's skills. In response, investors can move capital into or out of the mutual fund and the management company can...

Intermediaries such as financial advisers serve as an interface between portfolio managers and investors. A large fraction of their compensation is often provided through kickbacks from the portfolio manager. We provide an explanation for the widespread use of intermediaries and kickbacks....

We develop a continuous-time model in which a portfolio manager is hired by a management company. On the basis of observed portfolio returns, all agents update their beliefs about the manager's skills. In response, investors can move capital into or out of the mutual fund, and the management...

Based on the records of 1183 individual fund managers from 1985 to 2010, we investigate the compensation and discipline mechanisms in the closed-end fund industry and their implications for manager performance and fund premium. We find that managers generating high surplus, as proxied by fund...

This paper provides new evidence supporting the rationality of closed-end fund discounts by analyzing the time-series dynamics of individual fund discounts and their relation to portfolio performance and manager turnover. We show that discount changes reflect rational investor learning about...