摘要：Risk factors of closed-end funds may not be identical to those of common stocks due to the unique characteristics of closed-end funds whose share price is different from net asset value determined by underlying investment portfolios . T his study investigate s the relation ship between closed-end fund returns and the risk factors measured from two types of assets, fund itself and its underlying portfolios. We also examine the size and the book-to-market effect of both two types of assets. This paper finds that size and book-to-market related factor s measured from both fund itself and its investment portfolio play a significant role as risk factors, accounting for c losed-end fund returns. These risk factors measured from fund itself are observed as equally important as those from investment portfolio characteristics . In addition, t he book-to-market effect of fund itself assets is clearly showed.
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