The Persistence And Predictability Of Closed End Fund Discounts PDF Download
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Author | : Burton G. Malkiel |
Publisher | : |
Total Pages | : 40 |
Release | : 2005 |
Genre | : |
ISBN | : |
Download The Persistence and Predictability of Closed-End Fund Discounts Book in PDF, ePub and Kindle
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 | : Seth Anderson |
Publisher | : Springer Science & Business Media |
Total Pages | : 124 |
Release | : 2002 |
Genre | : Business & Economics |
ISBN | : 9780792376347 |
Download Closed-End Fund Pricing Book in PDF, ePub and Kindle
Closed-End Investment Companies (CEICs) have experienced a significant revival of interest, both as investment vehicles and as the subject of academic research, over the past decade. This academic research has focused on the nature of closed-end funds' discounts and premiums and on the share price behavior of these firms. The first book by the authors, "Closed-End Investment Companies: Issues and Answers," addresses closed-end fund academic articles published prior to 1991. This second book addresses those articles that have appeared since that time. Closed-End Fund Pricing: Theories and Evidence is designed for the academic researcher interested in CEICs and the practitioner interested in using CEICs as an investment vehicle. The authors summarize the evolution of CEICs, present the factors thought to cause CEIC shares to trade at different levels from their net asset values, provide a complete survey of the recent academic literature on this topic, and summarize the current state of research on CEICs.
Author | : Elroy Dimson |
Publisher | : |
Total Pages | : 84 |
Release | : 2002 |
Genre | : Business & Economics |
ISBN | : |
Download The Closed-end Fund Discount Book in PDF, ePub and Kindle
Author | : Gustavo Grullon |
Publisher | : |
Total Pages | : 66 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download Closed-End Fund Discounts with Informed Ownership Differential Book in PDF, ePub and Kindle
We develop a theoretical model to examine the closed-end fund discount. Our model identifies three causes for this phenomenon: (i) a self-fulfilling prophecy, (ii) a risk premium for the fund price risk, and (iii) a risk premium for informed ownership differential between the fund and its underlying assets. The model highlights the important role of asymmetric information between institutional and individual investors in explaining the discount and predicts a positive relationship between the discount and the quality of private information in the underlying assets. Using a sample of US equity closed-end funds, we test this prediction and find consistent evidence.
Author | : Matthew I. Spiegel |
Publisher | : |
Total Pages | : 41 |
Release | : 2000 |
Genre | : |
ISBN | : |
Download Closed-End Fund Discounts in a Rational Agent Economy Book in PDF, ePub and Kindle
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 | : Nazif Durmaz |
Publisher | : |
Total Pages | : 0 |
Release | : 2023 |
Genre | : |
ISBN | : |
Download Trend Breaks and the Persistence of Closed-end Mutual Fund Discounts Book in PDF, ePub and Kindle
Author | : Harold Kent Baker |
Publisher | : Oxford University Press, USA |
Total Pages | : 663 |
Release | : 2016 |
Genre | : Business & Economics |
ISBN | : 0190207434 |
Download Mutual Funds and Exchange-traded Funds Book in PDF, ePub and Kindle
Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth provides a fresh look at this intriguing but often complex subject. Its coverage spans the gamut from theoretical to practical coverage.
Author | : Matthew Partridge |
Publisher | : Kogan Page Publishers |
Total Pages | : 255 |
Release | : 2022-02-03 |
Genre | : Business & Economics |
ISBN | : 1398604097 |
Download Investing Explained Book in PDF, ePub and Kindle
Maximize your chances of investment success with this accessible and profitable guide which pulls away the curtain to put you on a level footing with the professionals - and points out where the pros can get it wrong. Never in history has it been easier for private investors to get involved in the market, and changes in technology, regulation and access to information mean that the advantage experts may have had is fast disappearing. Written by Matthew Partridge, a financial journalist for the UK's leading investment magazine, Investing Explained is filled with real life examples and plain English summaries of research produced by banks and academics to separate fact from fiction when it comes to investment clichés. Investing Explained covers the basics for beginner investors and includes more in-depth advice for those with more experience. Benefit from an overview of behavioural psychology (and how you can profit from the irrational behaviour of others), advice on fintech apps and cryptocurrencies, and the impact of a political or economic crisis on your investments. Access the stock market with this invaluable guide and build an investment portfolio which can secure your financial future.
Author | : |
Publisher | : |
Total Pages | : 558 |
Release | : 2001 |
Genre | : Economics |
ISBN | : |
Download Working Paper Series Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 622 |
Release | : 1995 |
Genre | : Economics |
ISBN | : |
Download Working Papers Book in PDF, ePub and Kindle