In this paper, we develop a theoretical model to explain the well-established empirical regularities that have been documented in the literature on closed-end funds (CEFs). In the presence of heterogeneous beliefs and short-sale constraints, both the CEF price and the price of the assets that it...

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a transitory short run component. Using a structural VAR...

We investigate the impact that the publication of the Bank of England's Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other financial institutions, we find that publication of...