Duran, Ahmet; Caginalp, Gunduz - In: Quantitative Finance 7 (2007) 3, pp. 321-342
Overreactions and other behavioral effects in stock prices can best be examined by adjusting for the changes in fundamentals. We perform this by subtracting the relative price changes in the net asset value (NAV) from that of market price (MP) daily for 134 406 data points of closed-end funds...