Abstract
The prices of Greek closed-end funds behave similarly to the prices of U.S. funds: They deviate substantially from their net asset values (NAVs), they are more volatile than their NAVs, they are overly-sensitive to the movements of the domestic stock market index, and their premia are: (i) positively correlated cross-sectionally, (ii) positively correlated with the future NAV returns, and (iii) negatively correlated with the future returns on the funds. This is true especially for larger CEF where mean reversion is exhibited even for the shortest sample period of one month but for all funds this behavior is confirmed for the longer periods of 9 and 12 months. The larger Greek closed-end funds are subsidiaries of banks and it appears that trading by the parent institutions initiate the earlier drop in sentiment.
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