We present a competitive rational expectations equilibrium model to explain the closed-end fund puzzle, where the price of the closed-end mutual fund deviates from the net asset value of the fund. We show that the closed-end fund puzzle can be explained as an equilibrium phenomenon which arises from an institutional feature of the fund when the fund manager has private information. In the equilibrium of the model , information asymmetry still remains and, therefore, the closed-end fund is not a redundant asset to the uninformed investors The price of the fund deviates from the net asset value by a value of information, which is determined by the quality of the information, the investment strategy of the fund, and a liquidiry shock.