Three Essays on Closed-end Fund Pricing PDF Download
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Author: Zhengzheng Li
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 374
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Author: Zhengzheng Li
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 374
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Book Description
Author: Yves Trudel
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 0
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Book Description
Despite the simplicity of their operations and the pricing of their underlying assets, closed-end funds are associated with some of the most puzzling anomalies in finance. Thus, the primary purpose of this thesis is to show why funds (especially closed-end funds) exist, why the variance of mutual fund returns can exceed the variance of the returns on their investment portfolios in a rational market, and how properly chosen remuneration schemes for fund managers lead to better fund pricing. Each of these topics constitutes a self-contained essay or chapter in the thesis. In the first essay, we demonstrate under which conditions closed-end mutual funds exist. In general, the time horizons of small investors must be in a range that eliminates the incentives for them to invest directly in investment projects while allowing managed investment fund managers to realize non-negative profits. The specific existence of closed-end mutual funds is related to the opportunity for some investors to liquidate their fund's shares before the termination of the fund and to the flexibility that open-end fund managers have to liquidate their assets under management. As the likelihood of "bank run" increases, so does the likelihood of issuing closed-end mutual funds. In the second essay, we challenge the current belief in finance that, if investors are rational, then the variance of the returns for the shares or units of a closed-end fund should equal the variance of the returns of the net asset value per share (NAVPS) of the portfolio of assets under management by the fund. We demonstrate that various factors lead to excess price variability, so that the ratio of price to NAVPS variances exceeds one in a rational market. These factors include a differential impact of the bid/ask bounce, potential fund liquidation, performance persistence, management fees, and payout policy. In the third essay, we demonstrate that well-chosen remuneration schemes can help investors to properly value the securities of closed-end funds in primary markets so as to better reflect the abilities of its managers. In contrast, the current compensation structures that are typically based on flat fees may induce good managers to exit the closed-end fund sector, and may leave this sector with managers that generate returns that are relatively low compared to their management fees. In turn, this may explain why such funds typically sell at a discount to their net asset value per share shortly after an initial public offering.
Author: Euiseong Lee
Publisher:
ISBN:
Category : Country funds
Languages : en
Pages : 250
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Author: Seth Anderson
Publisher: Springer Science & Business Media
ISBN: 1475736339
Category : Business & Economics
Languages : en
Pages : 106
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Book Description
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: Jeffrey Ernest Pontiff
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 338
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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: Ehud Peleg
Publisher: ProQuest
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 356
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Author: Zhi Wang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 336
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Author: Doseong Kim
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 474
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Author: Woojin Hahn
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 284
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Book Description
