Leverage and Liquidity: Evidence from the Closed-End Fund Industry
This paper uses the February 2008 auction rate security (ARS) market freeze to examine the spillover effects of an exogenous rollover financing shock on asset markets. Stocks held by ARS-levered closed-end funds (CEFs) experience larger declines in market liquidity and lower returns than other stock...
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| Main Author: | |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4526 https://ssrn.com/abstract=1729296 |
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| Institution: | Singapore Management University |
| Language: | English |