The closed-end fund puzzle: Management fees and private information

Research output: Contribution to journalArticlepeer-review

5 Scopus citations


Using a multi-period partial equilibrium model, I demonstrate that a combination of management fees and a time-varying information advantage for a fund manager can account for several empirically observed characteristics of closed-end funds simultaneously. The model is consistent with the basic time-series behavior of fund discounts, accounts for the excess volatility of fund returns, explains why the management fee appears to be an insignificant determinant of discounts, and is consistent with many time-series correlations between discounts, NAV returns, and fund returns. The model also generates novel predictions regarding the relations between asset turnover, discounts, and returns.

Original languageEnglish (US)
Pages (from-to)112-129
Number of pages18
JournalJournal of Financial Intermediation
Issue number1
StatePublished - Jan 1 2015

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


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