By Seth Anderson, Jeffery A. Born
Closed-End funding businesses (CEICs) have skilled an important revival of curiosity, either as funding automobiles and because the topic of educational study, during the last decade. This educational study has considering the character of closed-end cash' discount rates and charges and at the proportion rate habit of those businesses. the 1st booklet by means of the authors, "Closed-End funding businesses: concerns and Answers," addresses closed-end fund educational articles released sooner than 1991. This moment e-book addresses these articles that experience seemed when you consider that that time.
Closed-End Fund Pricing: Theories and Evidence is designed for the tutorial researcher attracted to CEICs and the practitioner drawn to utilizing CEICs as an funding car. The authors summarize the evolution of CEICs, current the standards concept to reason CEIC stocks to alternate at assorted degrees from their internet asset values, supply a whole survey of the new educational literature in this subject, and summarize the present nation of study on CEICs.
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Additional info for Closed-End Fund Pricing: Theories and Evidence
Returns. , higher returns for each level of risk). Thus, while the funds can provide diversification benefits, there is slippage. , Jensen's alpha) and find that only the Mexico Fund delivers positive abnormal performance during the period. S. investors for holding CECF come strictly from the diversification benefits. The authors close with an examination of the relation between changes in the CECF share price and NAV. S. while the assets trade in the local market). They reject the cointegration hypothesis in seven of the 15 cases.
Chopra, et al. reply that changes in discounts on closed-end funds explain more of the variation in returns on small firms than any of the fundamental factors identified in Chen, Roll, and Ross (1986). Noronha, Gregory M. and Bruce L. Rubin. 3 (Summer, 1995): 29-44. The authors employ a sample of 24 bond funds between 1980 and 1990 to investigate the factors often posited to influence closed-end fund discounts. The funds sold at a mean discount to NAVin all years except 1985-87. 5%, which is substantially smaller than the average discounts reported for equity funds during the same period of time.
When examining the predictive power of closed-end fund discounts, the authors use calendar year-end discounts reported by Weisenberger from 1933 to 1993. At year-end, the value-weighted discount for un-levered closed-end domestic stock funds average 12%, ranging from a high of 30% in 1940 to a low of -10% (a premium) in 1969. The authors estimate a number of models, examining the predictive power for the next months; quarters; one-, two-, three- and four-year periods. For the univariate models employing CEIC discount as the explanatory factor for CRSP returns, the authors find the strongest relation when predicting small firm returns.
Closed-End Fund Pricing: Theories and Evidence by Seth Anderson, Jeffery A. Born