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Lifting the Lid on Closed-End Investment Companies: A Case of Abnormal Returns

Published online by Cambridge University Press:  06 April 2009

James A. Brickley  and
James S. Schallheim
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Abstract

This study documents substantial gains accuring to shareholders of discounted closed-end investment companies when these funds are reorganized to allow shareholders to obtain the market value of the fund's assets. The findings indicate that the discounts on closedend funds are real, i.e., they are not the sole result of inaccurate reporting of the fund's net asset value. The study also documents significant abnormal returns after the announcement of management-sponsored proposals to reorganize. This finding is inconsistent with the joint hypothesis of market efficiency and that the market model (as estimated) is the correct return bench mark for funds undertaking reorganization.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 1 , March 1985 , pp. 107 - 117
Copyright
Copyright © School of Business Administration, University of Washington 1985

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