Excess Volatility and Closed-End Funds

Posted: 9 May 1994

See all articles by Jeffrey Pontiff

Jeffrey Pontiff

Boston College - Department of Finance

Multiple version iconThere are 2 versions of this paper

Date Written: April 1994

Abstract

The average closed-end fund's return is shown to be 65% more volatile than its assets. Unlike variance-bound tests, this facilitates an excess volatility test that does not rely on strong assumptions about discount rates or dividend streams. This finding can not be attributed to non-synchronous trading, or distorted net asset values. Although largely idiosyncratic, 15% of the average fund's excess risk is explained by market risk, small firm risk, and risk that affects other closed-end funds. For discounted funds, excess risk is also related to the book-to-market risk.

JEL Classification: G12

Suggested Citation

Pontiff, Jeffrey, Excess Volatility and Closed-End Funds (April 1994). Available at SSRN: https://ssrn.com/abstract=5313

Jeffrey Pontiff (Contact Author)

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
1,291
PlumX Metrics