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Previous research documents the value of closed-end fund trading rules based on the size of the weekly discount. The growing number of closed-end funds that provide daily net asset value data provides an opportunity to test the profitability of short-term fund trading strategies. We find that short-term trading strategies that purchase fund shares after large negative discount changes are profitable, on average, even when transaction costs are incorporated. However, strategies that short sell fund shares after large positive discount changes do not produce an average profit. The limited amount of trading in closed-end funds may make it difficult to achieve short-term profits from discount fluctuations.
...Applicable Criteria and Related Research:. --'Rating Closed-End Fund Debt and Preferred Sto...
... Income Trust (NYSE AMEX:FTF), a closed-end fund managed by Franklin Advisers, Inc.:. --Series M, 1...Applicable Criteria and Related Research:. --'Rating Closed-End Fund Debt and Preferred Sto...
...Applicable Criteria and Related Research:. --'Closed-End Fund Debt and Preferred Stock Rati...
...Applicable Criteria and Related Research:. --'Rating Closed-End Fund Debt and Preferred Sto...
...Applicable Criteria and Related Research:. --'Closed-End Fund Debt and Preferred Stock Rati...
...To receive Fitch's forthcoming research on closed-end funds please go to:. http://forms.fi...
...Applicable Criteria and Related Research:. --'Closed-End Fund Debt and Preferred Stock Rati...
...Applicable Criteria and Related Research:. --'Closed-End Fund Debt and Preferred Stock Rati...
...Applicable Criteria and Related Research:. -'Rating Closed-End Fund Debt and Preferred Stoc...
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