%0 Journal Article
%J Financial Services Review
%D 2005
%T A NAV a Day Keeps the Inefficiency Away?  Fund Trading Strategies using Daily Values
%A Hughen,J. C.
%A Mathew,Prem
%A Ragan,K.
%K Finance
%X 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.
%B Financial Services Review
%V 14
%P 213-230
%8 2005
%G eng
%2 a
%4 648290304
%$ 648290304

%0 Generic
%D 2005
%T A NAV a Day Keeps the Inefficiency Away?  Fund Trading Strategies using Daily Values
%A Mathew,Prem
%A Hughen ,J. C.
%A Ragan,K.
%K Finance
%B Academy of Finance Meeting
%8 2005
%G eng
%2 c
%4 648304640
%$ 648304640

%0 Journal Article
%J Quarterly Journal of Finance and Accounting
%D 2004
%T A Re-examination of Information Flow in Financial Markets: The Impact of Reg FD and Decimalization
%A Mathew,Prem
%A Hughen,C.
%A Ragan,K.
%K Finance
%X 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.
%B Quarterly Journal of Finance and Accounting
%V 43
%P 123-147
%8 2004
%G eng
%N 1-2
%2 a
%4 648298496
%$ 648298496