Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Model Of The Discounts On Closed End Mutual Funds The Quantification Fo Investor Sentiment And The Inability Of Arbitrage To Force Closed End Fund Share Prices To Par PDF full book. Access full book title A Model Of The Discounts On Closed End Mutual Funds The Quantification Fo Investor Sentiment And The Inability Of Arbitrage To Force Closed End Fund Share Prices To Par.
| Author | : Sean Masaki Flynn |
| Publisher | : |
| Total Pages | : 416 |
| Release | : 2002 |
| Genre | : |
| ISBN | : |
| Author | : Gordon Gemmill |
| Publisher | : |
| Total Pages | : 51 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Theory suggests that the persistent discount on closed-end funds is caused by management expenses, while investor sentiment contributes to its volatility. However, empirical studies have tended to support neither of these theories. In this paper we begin by showing how expenses and arbitrage may generate a plausible discount in the UK of about 13%. Cross-sectional tests on 158 equity funds over seven years find that the direct causes of smaller discounts are youth, ease of replication, large size and high dividend yield. Once age of fund is taken into account, the results support the hypothesis that larger expenses are associated with larger discounts. To test for the short-term impact of sentiment on the discount, we use monthly flows from retail investors into open-end funds as a proxy for retail-investor sentiment. Based on cointegration analysis of data by sector, we find a very strong short-term relationship between the closed-end fund discount and retail-investor sentiment. Finally, using data over the last 30 years, we find that discounts widen when the stockmarket is low, at which time small investors hold a much smaller proportion of the funds' shares than normal. Our study supports a rational basis for the existence of a long-run discount, while confirming that both short and medium-term fluctuations are related to investor sentiment.
| Author | : Urbi Garay |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Academic research has focused specifically on the enigmatic behavior of closed-end fund discounts, known in the literature as the closed-end fund discount puzzle. The extant evidence suggests that closed-end funds are issued at a premia with respect to their net asset values but typically trade at discounts thereafter, that the average closed-end fund trades at a significant discount relative to its net asset value, that discounts fluctuate widely over time and also across funds, and that closed-end fund prices converge to their net asset values when they are either liquidated or open-ended. Some of the theories that have been advanced attempting to explain the puzzle are efficient market based explanations and the Investor Sentiment Hypothesis. None of the theories, either individually or collectively, provide a sufficient explanation for the pricing of closed-end funds and, therefore, the enigma continues.
| Author | : |
| Publisher | : |
| Total Pages | : 776 |
| Release | : 2002 |
| Genre | : Dissertation abstracts |
| ISBN | : |
| Author | : Bhaskaran Swaminathan |
| Publisher | : |
| Total Pages | : 300 |
| Release | : 1994 |
| Genre | : Stocks |
| ISBN | : |
| Author | : Matthew I. Spiegel |
| Publisher | : |
| Total Pages | : 41 |
| Release | : 2000 |
| Genre | : |
| ISBN | : |
Nearly any standard financial model concludes that two assets with identical cash flows must sell for the same price. Alas, closed-end mutual fund company share prices seem to violate thisfundamental tenant. Even when one considers several standard frictions, such as taxes and agency costs, classical financial models cannot explain the large persistent discounts foundwithin the data. While the standard financial markets model may not explain the existence of large closed-end fund discounts, this paper shows that a rather close version of it does. In anotherwise frictionless market, if asset supplies vary randomly over time and agents posses finite lives a closed-end mutual fund's stock price may not track its net asset value. Furthermore, the analysis provides a number of conditions under which these discrepancies will lead to the existence of systematic discounts for the mutual fund's shares. In addition, the model provides predictions regarding the correlation between current closed-end fund discounts and current changes in stock prices and future changes in corporate productivity. As the analysis shows the same parameter values that lead to systematic discounts also lead to other fund price characteristics that resemble many of the results found within empirical studies.
| Author | : |
| Publisher | : |
| Total Pages | : 556 |
| Release | : 2003 |
| Genre | : Dissertations, Academic |
| ISBN | : |
| Author | : G. Constantinides |
| Publisher | : Elsevier |
| Total Pages | : 698 |
| Release | : 2003-11-04 |
| Genre | : Business & Economics |
| ISBN | : 9780444513632 |
Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.
| Author | : Burton G. Malkiel |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
It is well-known that the level of closed-end fund discounts appears to predict the corresponding fund's future returns. We further document that such predictability decays slowly. The popular explanations, including the tax effect, investor sentiment risk, and the funds's dividend yield, do not fully account for the observed predictability. At the same time, discounts are very persistent especially on an aggregate level. Using an AR(1) model for discounts, we demonstrate that such predictability is largely due to persistence in discounts. Our calibration exercise can produce most characteristics of an aggregate equity close-end fund index over the ten year period from 1993 to 2001. A cross-sectional study links discount persistence to rational factors such as dividend yield, unrealized capital gains, and turnover. In addition, we document a second independent source for predicting fund returns from large stock portfolio returns. This suggests that the well-known lead lag relationship between large stocks and small stocks also exists between NAV returns and fund returns. Finally, we find no evidence for quot;excess volatilityquot; on the aggregate level both for conditional and unconditional volatility.
| Author | : Donald R. Chambers |
| Publisher | : CFA Institute Research Foundation |
| Total Pages | : 122 |
| Release | : 2018 |
| Genre | : Business & Economics |
| ISBN | : 1944960384 |
Alternative Investments: A Primer for Investment Professionals provides an overview of alternative investments for institutional asset allocators and other overseers of portfolios containing both traditional and alternative assets. It is designed for those with substantial experience regarding traditional investments in stocks and bonds but limited familiarity regarding alternative assets, alternative strategies, and alternative portfolio management. The primer categorizes alternative assets into four groups: hedge funds, real assets, private equity, and structured products/derivatives. Real assets include vacant land, farmland, timber, infrastructure, intellectual property, commodities, and private real estate. For each group, the primer provides essential information about the characteristics, challenges, and purposes of these institutional-quality alternative assets in the context of a well-diversified institutional portfolio. Other topics addressed by this primer include tail risk, due diligence of the investment process and operations, measurement and management of risks and returns, setting return expectations, and portfolio construction. The primer concludes with a chapter on the case for investing in alternatives.
