Computer Science and Information Technologies, Computer Science and Information Technologies 2006

Font Size: 
Closed-End Fund Puzzle with Stable Distributions
N. Safronova, E. Akhtiamova

Last modified: 2020-12-26

Abstract


This paper discusses the close-end fund puzzle and proposes a modification of the overlapping generations model of an asset market in which noise trading or, investor sentiment , is a sourse of risk. We suggest to study the close-end fund puzzle under the condition that financial returns have stable non-Gaussian distribution assumption as compared with the normal one.


Keywords


Stable Distributions; overlapping generations model; non-Gaussian distribution

References


1. Lee Ch.M.C., Shleifer A. and Thaler R.H. "Investor sentiment and the close-end fund puzzle". The Journal of Finance, 1991; 1(46).

2. Weiss K. "The post-offering price performance of close-end funds". Financial Management, 1989.

3. Thompson R. "The information content of discounts and premiums on close-end fund shares". Journal of Financial Economics, 1978;6.

4. Richards R.M.,Fraser D.R. and Groth J.C. "Winning strategies for close-end funds". Journal of Portfolio Management Fall, 1980.

5. Anderson S.C. "Close-end funds versus market efficiency". Journal of Portfolio Management Fall, 1986.

6. Brauer G.A "Open-ending close-end funds".Journal of Financial Economics,1984;13.

7. DeLong B., Shleifer A., Summers L.H., Waldmann R.J. "Noise trader risk in financial markets".The Journal of political Economy, 1990;4(98).

8. Brickley J.A. and Schalheim J.S "Lifting the lid on closed-end investment companies: a case of abnormal returns". Journal of Financial and Quantitative Analysis, 1985;20.

9. Samorodnitsky and Taqqu "Stable non-Gaussian Random Processes",1994.

10. Janicki A., Weron A. "Simulation and chaotic behaviour of stable stochastic processes". Marcel Dekker, New York, USA,1994.

11. Shiryacv A.N. "Basics of stochastic financial mathematics", 1998.

12. Doukas J.A., Milonas N.T "Investor sentiment and the closed-end fund puzzle: out-of-sample evidence". European Financial Management, 10-2,2004.

13. OrtobelliS., Huber I., Schwartw E. "Portfolio selection with stable distributed returns". In: Mathematical Methods of operations Research. springer-Verlag, 2002,pp.265-300.

14.Fama E. "Portdolio analysis in a stable paretian marker". In: Management Science, 1965b;11:404-419.

15. Mittnik S., Rachev S., Paolella M. "Stable Paretian modelling in finance: some empirical and theoretical aspects". In: Adler et al(eds) A partical guide to heavy tails: statistical techniques for analuzing heavy tailed distributions. Brikhauser, Boston,USA,1997

16. Samorodnitsky G., Taqqu M. ''Stable non-Gaussian random processes: stochastic models with infinite variance". In: Chapman and Hall. New York, USA, 1994.

17. Rachev S., Mittnik S. "Stable Paretian models in finance". Wiley, Chichester, 2000.

18. Rachev S., Huber I., Safronova N., "Portfolio optimization: distributional approach". In: Proc. of the 7th International Workshop on Computer Science and Information Technologies (CSIT'2()05). USATU,Ufa,Russia,2005

19. Ortobelli S., Huber I., Schwartz E. "Portfolio selection with stable distributed returns". In: Mathematical Methods of Operations Research. Springer-Verlag, 2002, pp.265-300.


Full Text: PDF