We examine the roles of rational and behavioural factors in explaining long-run premiums/discounts on closed-end funds, using evidence on equity funds from the US and UK. Although the processes by which fund prices converge towards long-run premiums or discounts are similar in the two countries,...

We develop a theoretical model to explain why some issues of convertible bonds include a call feature whereas others do not and then test the predictions of the model empirically. The reasoning in the model is that good firms do not need a call feature and therefore issue straight debt or...

We examine a simple measure of portfolio performance based on prospect theory, which captures not only risk and return but also reflects differential aversion to upside and downside risk. The measure we propose is a ratio of gains to losses, with the gains and losses weighted (if desired) to...

Repurchases increase share prices, but there is no consensus as to why this happens. We provide new evidence by examining repurchases made by closed-end-fund companies, which have the advantage of prices and asset values that are transparent and publicly available. Short-term gains following...

The catering theory (Baker and Wurgler, 2004a, 2004b) argues that there is a time-varying demand for dividends, to which companies respond by initiating or omitting such payments. This paper supports that theory with evidence from split-capital closed-end funds in the UK, which flourished in the...

Conventional companies are heterogeneous and it is difficult to identify whether governance affects their performance. Closed-end funds are companies with clear objectives, allowing governance effects to be revealed. We find that, for the 331 funds listed in London, returns are negatively...

If arbitrage is costly and noise traders are active, asset prices may deviate from fundamental values for long periods of time. We use a sample of 158 closed-end funds to show that noise-trader sentiment, as proxied by retail-investor flows, leads to fluctuations in the discount. Nevertheless,...

Why buy a closed-end fund at IPO, when it is likely to trade at a discount in a few months' time? One theory suggests that buying a new fund is justified by an initial period of investment outperformance. A second theory is that new funds are launched to provide access to assets that are...

We examine what determines CDS prices over 2005-2012. To do this, we calibrate Merton's model in a novel way that allows for deviations from lognormality. The model works well in cross-section and time-series, both within and out-of sample. It confirms that systematic equity volatility is the...