Three Essays on Empirical Analysis of Closed-end Country Fund Price Behavior PDF Download
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Author: Euiseong Lee
Publisher:
ISBN:
Category : Country funds
Languages : en
Pages : 250
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Book Description
Author: Euiseong Lee
Publisher:
ISBN:
Category : Country funds
Languages : en
Pages : 250
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Book Description
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: 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: Doseong Kim
Publisher:
ISBN:
Category : Closed-end funds
Languages : en
Pages : 474
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Book Description
Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 776
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Book Description
Author: Rong-Chang Wu
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 304
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Book Description
Author: Sushil Bikhchandani
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 38
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Book Description
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 614
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Book Description
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 348
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Book Description
Author: Wayne Ferson
Publisher: MIT Press
ISBN: 0262039370
Category : Business & Economics
Languages : en
Pages : 497
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Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
