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  - 

TY  - HEAR
T1  - A NAV a Day Keeps the Inefficiency Away?  Fund Trading Strategies using Daily Values
Y1  - 2005
A1  - Mathew,Prem
A1  - Hughen ,J. C.
A1  - Ragan,K.
KW  - Finance
JA  - Academy of Finance Meeting
U2  - c
U4  - 648304640
ID  - 648304640
ER  - 

TY  - JOUR
T1  - A Re-examination of Information Flow in Financial Markets: The Impact of Reg FD and Decimalization
JF  - Quarterly Journal of Finance and Accounting
Y1  - 2004
A1  - Mathew,Prem
A1  - Hughen,C.
A1  - Ragan,K.
KW  - Finance
AB  - We investigate the impact of Regulation FD on information flow in the equities market. Our analysis indicates that information flow around earnings announcements, proxied by abnormal return volatility around those announcements, of U.S. stocks increased in the first effective quarter of Regulation FD (the fourth quarter of 2000). The information flow of ADRs, which are exempt from Regulation FD, does not change. This supports the inference that Regulation FD, not general market conditions, caused the increase in volatility, but Regulation FD did not have a persistent impact on information flow. A multivariate regression analysis shows that our results are robust to controls that include decimalization, which was implemented concurrently with Regulation FD and has reduced return volatility. Our comparison of return volatilities across firm size indicates that small firms temporarily had larger return volatilities, thus Regulation FD only temporarily had a differential impact on the information environment of small firms.
VL  - 43
CP  - 1-2
U2  - a
U4  - 648298496
ID  - 648298496
ER  -