Investor reaction to salient news in closed-end country funds

Peter Klibanoff, Owen Lamont, Thierry A. Wizman

Research output: Contribution to journalArticlepeer-review

174 Scopus citations

Abstract

We use panel data on prices and net asset values to test whether dramatic country-specific news affects the response of closed-end country fund prices to asset value. In a typical week, prices underreact to changes in fundamentals; the (short-run) elasticity of price with respect to asset value is significantly less than one. In weeks with news appearing on the front page of The New York Times, prices react much more; the elasticity of price with respect to asset value is closer to one. These results are consistent with the hypothesis that news events lead some investors to react more quickly.

Original languageEnglish (US)
Pages (from-to)673-699
Number of pages27
JournalJournal of Finance
Volume53
Issue number2
DOIs
StatePublished - Apr 1998

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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