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Journal of Economics and Finance

Erschienen in:

01.04.2013

Economic freedom and the mispricing of single-state municipal bond closed-end funds

verfasst von: Samuel Kyle Jones, Michael D. Stroup

Erschienen in: Journal of Economics and Finance | Ausgabe 2/2013

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Abstract

The Economic Freedom of North America Index (EFI) is a measure of the state-level institutional characteristics that promote economic activity. We use this index as a proxy for the degree of local market segmentation and test the hypothesis that single-state, municipal bond closed-end fund mispricing can be partially explained by a state’s EFI value. Using panel data analysis we find that EFI is significant in explaining observed variability in fund mispricing.

Vorheriger Artikel An examination of ex-ante factors and their influence on equity carve-out long-term performance

Nächster Artikel The effects of cash holdings on corporate performance during a credit crunch: evidence from the sub-prime mortgage crisis

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See Bodurtha et al. (1995), Richard and Wiggins (2000), and Lee et al. (1991) who provide evidence that closed-end fund mispricing is a function of investor sentiment, whereas Elton et al. (1998), Kramer and Smith (1998), and Chan et al. (2005) reject investor sentiment as an explanatory variable.

Two alternative measures of investor sentiment were tested. The first was an index constructed as an equally weighted portfolio of the premiums of the single-state municipal bond closed-end funds from the Thomson InvestmentView database used in this study (Patro 2005; Dimson and Minio-Kozerski 2002). The second was the standard deviation of the AAII bull-bear spread index. The un-tabulated results using these alternative measures were qualitatively similar to those reported in this paper.

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Titel: Economic freedom and the mispricing of single-state municipal bond closed-end funds
verfasst von: Samuel Kyle Jones
Michael D. Stroup
Publikationsdatum: 01.04.2013
Verlag: Springer US
Erschienen in: Journal of Economics and Finance / Ausgabe 2/2013
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI: https://doi.org/10.1007/s12197-011-9174-y

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