TY  - JOUR
AU  - Lee,Charles
AU  - Shleifer,Andrei
AU  - Thaler,Richard
TI  - Investor Sentiment and the Closed-End Fund Puzzle
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3465
PY  - 1990
Y2  - October 1990
UR  - http://www.nber.org/papers/w3465
L1  - http://www.nber.org/papers/w3465.pdf
N1  - Author contact info:
Andrei Shleifer
Department of Economics
Harvard University
Littauer Center M-9
Cambridge, MA 02138
Tel: 617/495-5046
Fax: 617/496-1708
E-Mail: ashleifer@harvard.edu

Richard H. Thaler
Booth School of Business
University of Chicago
5807 South Woodlawn Ave
Chicago, IL 60637
Tel: 773/702-5208
Fax: 773/834-9134
E-Mail: richard.thaler@chicagobooth.edu
AB  - This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.
ER  -