Three Essays on Closed-end Country Funds PDF Download
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Author: Doseong Kim
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 474
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Book Description
Author: Doseong Kim
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 474
Get Book Here
Book Description
Author: Euiseong Lee
Publisher:
ISBN:
Category : Country funds
Languages : en
Pages : 250
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Book Description
Author: Jeffrey Ernest Pontiff
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 338
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Book Description
Author: Urbi A. Garay
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 410
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Book Description
Author: Woojin Hahn
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 284
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Book Description
Author: Yves Trudel
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Zhi Wang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 336
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Book Description
Author: Zhengzheng Li
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 374
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Book Description
Author: Gary Paul McCormick
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages :
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Book Description
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: Francisco Jose Guedes dos Santos
Publisher: Stanford University
ISBN:
Category :
Languages : en
Pages : 153
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Book Description
This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
