More and more events and anomalies that have happened in recent years cannot be explained by traditional models, which leads to a pervasive doubt of the effectiveness of the efficient market hypothesis. In particular, over ninety percent of Taiwan¡¦s stock market investors are individuals, and the noise trading phenomenon is very common and has a great effect upon the return of stock. Hence, the measure of investor sentiment formed by noise traders becomes a task for the researcher studying the factors which effect the stock return in Taiwan. The objective of this paper is to find the investor sentiment proxy variables which can be a significant factor in explaining stock return. This analysis adopts the arbitrage pricing model of the macroeconomic factors. The sample contains data for most listed stocks on the Taiwan Stock Exchange from 1984 to 2002. By combining the stock or company characteristic related to the noise traders¡¦ perception, including market value, stock and etc., and phenomenons effect by investor sentiment, including closed-end fund discount, initial returns on IPOs, and number of IPOs to the arbitrage pricing model , we found that closed-end fund discount and initial returns on IPOs are significant and appropriate to investor sentiment proxy variables. However, the number of IPOs is not significant enough

Closed-end funds (CEFs) are popular investments amongst the Swedish population as they provide diversification to investors and have in many cases historically outperformed the market. In deciding whether to invest in a CEF, the method of valuation differs from classical financial ratios used to value most companies, as the revenue-bringing operations differ significantly. The Net Asset Value (NAV) per share is compared to the market price per share of a CEF, to determine if the share is traded at a discount or premium. The purpose is based upon the rationalization that a share’s market price and the value of the closed-end fund’s underlying assets cannot drift too far apart from each other. In other words, the discount cannot drift too far from its mean over time, as there would be an upward pressure on the share price if the NAV-discount is large, and a downward pressure on the share price if the premium is large. Tests of unit roots and cointegration are applied and analysed in the light of previous findings for discounts in CEFs. Our findings show that the majority of selected CEFs’ prices and NAVs have long-run equilibrium relationships. Additionally, the discount appears to be stationary over time for the majority of CEFs, supporting the notion of mean reversion in the discount. For certain Swedish CEFs, the findings allow for investment decisions to be made upon the deviation from the mean. This study contributes to previous research done on the topic of mean reversion in the financial market as it finds statistical evidence of mean-reverting process for the NAV-discount of Swedish CEFs. The thesis also provides additional value to the plethora of research provided in the financial field as it specifies its findings to the Swedish market of CEFs.