Market segmentation and the valuation of closed-end country funds: An empirical analysis |
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Authors: | Jongmoo Jay Choi Insup Lee |
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Institution: | (1) School of Business and Management, Temple University Department of Finance, 19122 Philadelphia, PA, USA;(2) University of Delaware, Newark, USA;(3) Korea Securities Research Institute, Seoul, Korea |
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Abstract: | This article examines the role of market segmentation on the valuation of the U.S. stock exchange-listed closed-end country funds and analyzes the determinants of net fund premia in a multivariate context. It is shown that fund returns are generally sensitive to both national and U.S. market factors, but only national factors are priced. Cross-section and time series estimation of net fund premia indicates the importance of market segmentation as a determinant of net fund premia. There is some evidence that exchange rate changes may exert an additional influence. However, market expectation variables such as economic growth of the country or relative capitalization rates are insignificant. |
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Keywords: | country funds market segmentation international asset pricing exchange rate factor |
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