Closed-end funds have been a topic of lively debate for several decades. In this paper I focus on studies relating to liquidity, sentiment and segmentation and, in particular, on studies that investigate closed-end country funds. I extend the previous survey by Dimson & Minio-Kozerski (1999) by...

Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...

In this study, we present panel-data evidence on REIT liquidity and its determinants over the 1988 – 2007 period. We focus upon liquidity measures that do not require micro-structure data (1) to facilitate use of our results as benchmarks for comparisons with results from international markets...

In this study, we present panel-data evidence on REIT liquidity and its determinants over the 1988 – 2007 period. We focus upon liquidity measures that do not require micro-structure data (1) to facilitate use of our results as benchmarks for comparisons with results from international markets...

Portfolio traders may split large orders into smaller orders scheduled over time to reduce price impact. Since handling many orders is cumbersome, these smaller orders are often traded in an automated (“algorithmic”) manner. We propose metrics using these orders to help measure various...

Portfolio traders may split large orders into smaller orders scheduled over time to reduce price impact. Since handling many orders is cumbersome, these smaller orders are often traded in an automated (“algorithmic”) manner. We propose metrics using these orders to help measure various...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

We document that hedge funds nurture mispricing in the Chinese financial market. We exploit the relationship between hedge fund holdings and the degree of mispricing in case that hedge fund holdings of stocks are mainly for arbitrage purpose but not for hedging, and that with and without...

Defined-contribution plans represent a major organizational form for investors´ retirement savings. Today more than one third of all workers are enrolled in 401K plans.(...)

In this paper the relation between aggregate mutual fund flows and stock market returns isanalysed with respect to three issues. First, we study the relation between fund flows andlong-term realized returns (past, current and future). Second, we find out that fund flows arenot driven by...