TY  - JOUR
T1  - A NAV a Day Keeps the Inefficiency Away?  Fund Trading Strategies using Daily Values
JF  - Financial Services Review
Y1  - 2005
A1  - Hughen,J. C.
A1  - Mathew,Prem
A1  - Ragan,K.
KW  - Finance
AB  - Previous 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.
VL  - 14
U2  - a
U4  - 648290304
ID  - 648290304
ER  -