Abstract
This paper empirically tests the determinants of closed-end fund (CEF) prices by employing cointegration and error-correction modeling with an advanced ARDL framework. Since CEF shares generally trade at discounts to their net asset value (NAV), we modeled CEF prices, including volatility and economic policy indices along with their NAVs. The present study consists of 31 monthly frequency CEF discount data from January 1999 to April 2018 and economic policy uncertainty (EPU) with ten subindices. This paper finds evidence for cointegration in many of the series and statistically significant coefficients in the short- and long-run estimates of the included subindices.
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