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The Bubble of 1929 : Evidence from Closed-End Funds

Author: Andrei Shleifer; J Bradford De Long; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 1990.
Series: Working paper series (National Bureau of Economic Research), no. w3523.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Closed-end mutual funds provide one of the few cases in which economists can observe "fundamental" values directly, and compare them to market values: the fundamental value of a closed-end fund is simply the net asset value of its portfolio. We use the difference between prices and asset values of closed-end funds at the end of the 1920s as a measure of investment sentiment. In the late l920s closed-end funds sold  Read more...
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Additional Physical Format: Print version:
DeLong, J. Bradford.
Bubble of 1929.
Cambridge, MA : National Bureau of Economic Research, [1990]
(OCoLC)22979105
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Andrei Shleifer; J Bradford De Long; National Bureau of Economic Research.
OCLC Number: 756570938
Description: 1 online resource.
Series Title: Working paper series (National Bureau of Economic Research), no. w3523.
Responsibility: J. Bradford De Long, Andrei Shleifer.

Abstract:

Closed-end mutual funds provide one of the few cases in which economists can observe "fundamental" values directly, and compare them to market values: the fundamental value of a closed-end fund is simply the net asset value of its portfolio. We use the difference between prices and asset values of closed-end funds at the end of the 1920s as a measure of investment sentiment. In the late l920s closed-end funds sold at large premia: at the peak, they appear willing to pay 60 percent more for closed-end funds than the post-WWII norm. Such substantial overpricing of closed-end funds -- where fundamentals are known and observed -- suggests that other assets were selling at prices above fundamentals as well. The association between movements in the medium closed-end fund discount and movements in broad stock price indices leads us to conclude that the stocks making up the S & P composite were priced at least 30 percent above fundamentals in the summer of 1929.

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