Closed-end funds are puzzling in finance, but this thesis explains why they exist and why their returns can vary. The first essay shows that closed-end funds exist when small investors have short time horizons and open-end fund managers can liquidate assets. The second essay challenges the belief that returns should match the fund's assets, showing factors like bid/ask bounce and fees can cause excess variability. The third essay demonstrates that better compensation schemes can help investors value closed-end funds more accurately, preventing good managers from leaving the sector.