01363nas a2200169   4500008004100000245008900041210006900130260000900199300001200208490000700220520078300227653001201010100001901022700001701041700001401058856012101072       2005                        eng d00aA NAV a Day Keeps the Inefficiency Away?  Fund Trading Strategies using Daily Values0 aNAV a Day Keeps the Inefficiency Away Fund Trading Strategies us  c2005  a213-2300 v143 aPrevious research documents the value of closed-end fund trading rules based on the size of theweekly discount. The growing number of closed-end funds that provide daily net asset value data
provides an opportunity to test the profitability of short-term fund trading strategies. We find that
short-term trading strategies that purchase fund shares after large negative discount changes are
profitable, on average, even when transaction costs are incorporated. However, strategies that short
sell fund shares after large positive discount changes do not produce an average profit. The limited
amount of trading in closed-end funds may make it difficult to achieve short-term profits from discount
fluctuations. © 2005 Academy of Financial Services. All rights reserved.
10aFinance1 aHughen, J., C.1 aMathew, Prem1 aRagan, K.  u/biblio/nav-day-keeps-inefficiency-away-fund-trading-strategies-using-daily-values-2