This paper investigates the short-run relationship between closed-end fund prices and their net asset values. In particular, we document three systematic differences between the short-run pricing behaviors for stock and bonds funds. For equity funds, we show that returns processes for both prices and asset values have characteristics of a random walk, while bond funds returns are more predictable. Similarly, multivariate GARCH analysis establishes the existence of stronger news and volatility spillover effects between the fund price and the net asset value for bond funds than for stock funds. Finally, we find significantly weaker dynamic conditional correlations between the fund price and its fundamental value for bond funds after the Lehman Brothers failure, whereas no such evidence is found for stock funds. To explain these findings, we propose a mechanism based on bond market illiquidity.

本文研究了封闭式基金价格与其资产净值之间的短期关系。特别地，我们记录了股票基金和债券基金的短期定价行为之间的三个系统性差异。对于股票基金，我们表明价格和资产价值的回报过程具有随机游走的特征，而债券基金的回报更具有可预测性。同样，多变量GARCH分析表明，债券型基金价格与资产净值之间的新闻溢出效应和波动溢出效应强于股票型基金。最后，我们发现，在雷曼兄弟破产后，债券基金的价格与其基本价值之间的动态条件相关性明显减弱，而股票基金则没有这种相关性。为了解释这些发现，我们提出了一个基于债券市场非流动性的机制。