Essays on Closed-end Country Funds and Investment Trusts PDF Download
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Author: Urbi A. Garay
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 410
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Author: Urbi A. Garay
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 410
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Author: Yves Trudel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Thomas J. Herzfeld
Publisher: McGraw-Hill Companies
ISBN:
Category : Business & Economics
Languages : en
Pages : 232
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Author: Gary Paul McCormick
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages :
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Closed end funds provide a unique asset class for academic research due to that fact that they typically trade at a price different from the Net Asset Value (NAV). This is known as the discount. The first essay examines that voluntary change from weekly to daily NAV reporting. Surprisingly, this additional information generates greater information asymmetry. This supports the theory that a skilled subset of investors can exploit public information by processing it into private information and/or opinion. The result is that these funds are riskier, have greater transaction costs. The second essay examines the hypothesis that discount is the price investors are willing to pay for future performance. Earlier work found that the hypothesis is true for equity funds but not bond funds. The findings here are that the relation has changed over time. The hypothesis now holds for international funds (bond and equity) but not domestic funds. The third essay studies the timing ability of fixed income closed end fund managers. Fund flows may hamper (open) mutual fund managers' performance. Fixed income portfolio management should be more an issue market and interest timing due to the fact that bonds of the same characteristics (yield, duration, coupon and credit rating) are close substitutes. The findings are of no timing ability, but also, no evidence of the perverse that is common in the literature.
Author: Elroy Dimson
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 84
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Author: Doseong Kim
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 474
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Author: Tianna Yang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This thesis is comprised of three separate empirical chapters on the closed-end fund industry. The first chapter examines the performance and trading volume of UK Venture Capital Trusts (VCTs) focusing on the expiry of the minimum holding period required for investors to gain income tax relief on VCT shares bought at flotation. The second explores the effect of repurchase transactions on the stock liquidity of UK closed-end funds. The third chapter investigates the relationship between pay-performance sensitivity (PPS) and fund risk of US closed-end funds. The first empirical chapter finds negative abnormal returns and permanent increases in trading volumes at and around the expiry of the required holding periods of VCTs. VCTs investing in companies listed on the Alternative Investment Market experience higher abnormal returns and lower abnormal trading volumes than VCTs investing in unquoted companies. VCTs with better asset performance during the required holding period have lower abnormal returns and higher abnormal trading volumes. Income tax relief becomes more generous (increases from 20 to 40 percent) and holding periods shorter (from five to three years) over the sample period. The more generous (to the investors) the income tax relief, the higher the abnormal returns and the lower the abnormal trading volumes. The second empirical chapter reports that repurchase transactions improve the stock liquidity of closed-end funds suggesting that funds act as "competing market makers". However, the positive liquidity effect of repurchase transactions is short-lived and positively affected by the frequency of repurchase transactions. The positive effect seems to have been increased by the change in repurchase regulations on 1st December 2003 that allowed funds to re-issue repurchased shares and appears to have increased the ability of funds to manage their stock liquidity. The third empirical chapter finds that fund risk has a positive impact on fund PPS, suggesting that shareholders need to provide greater compensation incentives to managers of riskier firms to reduce the adverse selection problem. PPS has a positive effect on fund risk, which suggests that, in the closed-end fund industry, the increase in the value of the fund manager's wealth due to a higher PPS outweighs the negative effect of increased pay volatility on the manager's expected utility.
Author: Euiseong Lee
Publisher:
ISBN:
Category : Country funds
Languages : en
Pages : 250
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Author: Sertio Luis Schmukler
Publisher:
ISBN:
Category :
Languages : en
Pages : 336
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Author: John Eric Richard
Publisher:
ISBN:
Category : Country funds
Languages : en
Pages : 360
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