Abstract

Closed-end Funds Show a Distinctive Feature in Comparison to Mutual Funds

Rainer Schoebel and B.P. Kellerhals

Eberhard-Karls-Universitaet Tuebingen

The market value determined on organized exchanges differs dynamically over time from the reported net asset value. This capital market anomalyreasons our valuation model which is rooted in the market segmentation framework and based on the theory of derivative pricing. We propose a two-factor pricing model with the net asset value and a correlated access premium as explaining factors. To evaluate our theoretical model we estimate the relevant parameters using a maximum likelihood method based on a Kalman filter algorithm.