Abstract
The purpose of this study is to determine whether holding company depository receipts, or HOLDRs, a recently introduced financial product, carry a premium or discount to their net asset value. An examination of daily price time series reveals that like closed-end mutual funds, the HOLDR trades at an 8% discount to its NAV, and the discount is persistent over time. The discount is explained by market friction, inherent time risk, investor sentiment risk, and high volatility of the portfolio.
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Are HOLDRs a Piece of the Closed-End Fund Puzzle?
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