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    Università della Svizzera italiana

    Incomplete information and the closed-end fund discount

    Barone-Adesi, Giovanni ; Kim, Youngsoo

    We model the closed-end fund discount/premium in a version of Merton’s (1978) asset pricing model with incomplete information. In this economy, investors trade only assets which they “ know about” . The model generates a closed-end fund discount or premium, depending on risk-aversion parameters. The fund share price reverts to the net asset value on open-ending of the fund. The...

    Università della Svizzera italiana

    Incomplete information and the closed-end fund discount

    Barone-Adesi, Giovanni ; Kim, Youngsoo

    We model the closed-end fund discount/premium in a version of Merton’s (1978) asset pricing model with incomplete information. In this economy, investors trade only assets which they “know about”. The model generates a closed-end fund discount or premium, depending on risk-aversion parameters. The fund share price reverts to the net asset value on open-ending of the fund. The...

    2 results 1