出版社：Richards College of Business, University of West Georgia
摘要：Closed end funds (CEFs) generally do not announce their NAVs until after the market closes. Thus those who wish to trade CEF shares during the day, will only have access to day old NAVs. Exchange traded funds’ benchmark indexes are available continuously and mutual fund investors can redeem their shares at their end of the day NAVs. Supply and demand forces, however, determine CEF share prices, usually not at their NAV levels. While real time changes in closed end fund NAVs are not publicly available, they can be estimated (with error) using the funds’ reported (quarterly) holdings’ real time prices. Two key questions are addressed article: 1. Can the reported NAVs be accurately predicted? 2. Can such estimated NAVs be utilized to forecast subsequent returns? The authors’ tentative answer to both questions is: Yes.
