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1.
Investment returns on closed‐end funds are highly volatile. Because expenses have a definite negative impact on closed‐end fund returns, investors should include the expense ratio as a criterion for fund selection in addition to performance, investment objective, and risk of the fund. This paper constructs a model of the expense ratio of closed‐end funds to explain cross‐sectional differences in the expense ratios for the period between 1989–1996. We relate closed‐end fund expenses to fund characteristics and identify the factors that can help investors choose low expense closed‐end funds. 相似文献
2.
We use the horrific events of September 11, 2001 (“nine‐eleven”) as a natural test of the hypothesis that closed‐end mutual fund discounts from fund net asset values reflect small investor sentiment. Because nine‐eleven was a sudden, unforeseen, and significantly negative and exogenous shock to the world, the capital markets, and investor sentiment, our test avoids many of the problems of extant studies. Discounts worsened dramatically following the event, and then recovered alongside the broader market. This finding is consistent with the hypothesis that discounts reflect the sentiment of small investors, who took their cues from the broader market's overall movement. 相似文献
3.
The purpose of this study is to extend the research on mutual fund performance persistence to net asset value and market price performance of domestic closed‐end funds. While research has assessed the performance persistence of open‐end mutual funds, it has not assessed the performance persistence of closed‐end funds. Yet, the unique characteristics of closed‐end funds allow stronger arguments for their persistence than the arguments previously submitted for open‐end mutual funds. The results show evidence for risk‐adjusted performance persistence. 相似文献
4.
Closed‐end fund (CEF) discounts vary widely over time due to changes in share price, net asset value (NAV), or both. Prior studies suggest discounts are mean‐reverting. We examine the mean‐reversion issue by employing cointegration procedures. Specifically, we identify bond and equity CEFs that exhibit stationary time‐series properties and find statistically significant error correction terms that quantify the speed of mean reversion. The results indicate that mean reversion is caused by changes in both share price and NAVs. However, CEFs can only provide excess returns when the discount narrows due to share price increases. 相似文献
5.
In this paper we examine the proposition that small investor sentiment, measured by the change in the discount/premium on closed‐end funds, is an important factor in stock returns. We conduct an out‐of‐sample test of the investor sentiment hypothesis in a market environment that is more likely to be prone to investor sentiment than the USA. We fail to provide supporting evidence for the claim of Lee et al. (1991) that investor sentiment affects the risk of common stocks. Consistent with Elton et al. (1998) , who show that investor sentiment does not enter the return generating process, our tests do not detect investor sentiment in a capital market that is more susceptible to small investor sentiment. Our results provide additional support against the claim that investor sentiment represents an independent and systematic asset pricing risk. 相似文献
6.
我国开放式和封闭式基金绩效比较的实证研究 总被引：4，自引：0，他引：4
近年来我国新设立的开放式基金远远多于封闭式基金。在数量迅速增长的情况下，开放式基金能否取得优于封闭式基金的绩效受到市场的普遍关注。本文选取了10家基金管理公司，每家公司各选一只开放式基金和一只封闭式基金，从收益率、风险调整后的绩效和择时能力三个方面比较了2004年1月至2005年4月期间开放式基金与封闭式基金的绩效。实证结果显示，在我国目前情况下，开放式基金的绩效略高于封闭式基金，但并不存在显著的差异． 相似文献
7.
Managing the succession process by the hiring and firing of key executives is one of the important functions of a board of directors. In this research we study successions of fund managers in the closed‐end mutual fund industry. The agency issues inherent in closed‐end mutual funds makes them a unique laboratory for such a study. Our results suggest that while the overall abnormal returns of these manager changes are statistically insignificant, that the returns are more positive for funds with large expense ratios and for funds trading at a discount. We also find the abnormal returns are negatively related to the percentage of inside director stock ownership. Corporate bond funds and international equity funds react more negatively to these announcements than other types of funds. The abnormal returns do not appear to be related to board composition, but board composition does vary across fund type, and may therefore indirectly influence the results. 相似文献
8.
Gordon Gemmill 《European Journal of Finance》2017,23(14):1311-1334
Why buy a closed-end fund at IPO, when it is likely to trade at a discount in a few months’ time? One theory suggests that buying a new fund is justified by an initial period of investment outperformance. A second theory is that new funds are launched to provide access to assets that are temporarily illiquid and to exploit the subsequent liquidity gain while a third theory asserts that buyers of new issues are not fully rational but are influenced by time-varying sentiment. This paper tests the three theories using data from UK-traded closed-end equity-fund IPOs over 1984–2006. The empirical results provide strong support for the influence of sentiment but provide little or no support for the two other theories. 相似文献
9.
This study extends the research on closed-end fund performance persistence by investigating whether the persistence of both net asset value (NAV) and market price returns of U.S. registered closed-end funds is related to various fund characteristics. The sample consists of 505 closed-end funds, which are investigated over the period from January 1976 to December 1996. The analysis tests whether persistence is related to the fund characteristics size, goal, management fees, turnover, fund family membership, fund experience, and the exchange on which a fund is traded. The results vary across holding periods used to calculate persistence but are similar with respect to the NAV and market price returns. Funds with lower expense ratios and funds traded on the NYSE show more persistence of strong NAV and market price performance. 相似文献
10.
《Journal of Financial Economics》2014,111(1):45-69
During the past decade, non-bank institutional investors are increasingly taking larger roles in the corporate lending than they historically have played. These non-bank institutional lenders typically have higher required rates of return than banks, but invest in the same loan facilities. In a sample of 20,031 leveraged loan facilities originated between 1997 and 2007, facilities including a non-bank institution in their syndicates have higher spreads than otherwise identical bank-only facilities. Contrary to risk-based explanations of this finding, non-bank facilities are priced with premiums relative to bank-only facilities in the same loan package. These non-bank premiums are substantially larger when a hedge or private equity fund is one of the syndicate members. Consistent with the notion that firms are willing to pay a premium when loan facilities are particularly important to them, the non-bank premiums are larger when borrowing firms face financial constraints and when capital is less available from banks. 相似文献
11.
We examine the motivation and performance of closed‐end funds that engage in seasoned public or rights offerings. We find that closed‐end funds are more motivated to engage in seasoned offerings when their shares exhibit a relatively high premium (compared to their corresponding NAV) and have a high degree of liquidity. We also find a significant negative valuation effect on average in response to seasoned offerings by closed‐end funds. Our cross‐sectional analysis reveals that the valuation effect at the time of the seasoned offering is more unfavorable for funds that have relatively high expense ratios and are relatively large. Furthermore, we find that the closed‐end funds experience significant negative valuation effects over the three‐year period subsequent to the seasoned offering, implying poor post‐offering performance. 相似文献
12.
本文比较了封闭式基金与对等的开放式基金之间的差异，认为缺少赎回权是封闭式基金产生折价的主要原因。在一个具有完全择时能力的封闭式基金投资者的假设条件下，本文推导并证实了赎回权价值上限和隐含折价率下限计算公式。基于赎回权，本文提出了“封转开”方案设计的一个新思路，希望对市场上正在热烈讨论的“封转开”问题有所启示。 相似文献
13.
Chen Jeng-Hong Jiang Christine X. Kim Jang-Chul McInish Thomas H. 《Review of Quantitative Finance and Accounting》2003,21(4):303-321
Using a sample of closed-end equity funds listed on the NYSE from 1994 to 1999, we investigate differences in spreads and adverse selection costs between the closed-end funds and a matched sample of common stocks. We find that spreads and adverse selection costs for the closed-end funds are significantly lower than those of control stocks. The results are consistent for the subperiods both before and after the minimum tick size change on NYSE on June 24, 1997. The differences of spreads and adverse selection costs cannot be attributed to the differences in the characteristics of the closed-end funds and the matched sample of common stocks. Lastly, we find that abnormal investor sentiment and adverse selection costs of closed-end funds are positively correlated over time. 相似文献
14.
Liang Ma; 《Financial Management》2024,53(1):119-143
This paper investigates the impact of the onset of the COVID-19 pandemic in the United States on closed-end fund (CEF) discounts. I show that CEF discounts increased after the onset of the COVID-19 pandemic in the United States, while individual investor sentiment declined. Furthermore, CEFs with higher retail ownership had a larger discount increase, which suggests that individual investor sentiment is a potential contributor to CEF discounts. This finding seems less likely to be driven by rational channels or income-driven fire sales, as shown by further analysis. Overall, the results shed light on the CEF discount puzzle using a new setting. 相似文献
15.
Abstract Country indices as represented by iShares exhibit non-normal return distributions with both skewness and kurtosis. Earlier studies provide procedures for determining the statistical significance of stochastic dominance measures and the Sharpe Ratio. This present study uses these refinements to compare the performance of 18 country market indices. The iShares are indistinguishable when using the Sharpe Ratio as no significant differences are found. In contrast, stochastic dominance procedures identify dominant iShares. Although the results vary over time, stochastic dominance appears to be both more robust and discriminating than the CAPM in the ranking of the iShares. 相似文献
16.
Exchange‐traded funds (ETFs), like closed‐end funds (CEFs), are managed portfolios traded like individual stocks. We hypothesize that the introduction of an ETF in an asset class similar to an existing CEF results in a substitution effect that reduces the value of the CEF's shares relative to that of its underlying assets. Our event studies show that upon the introduction of a similar ETF, CEF discounts widen significantly and relative volume declines significantly. Single‐equation and systems estimation models show that the widening in discounts and reduction in volume are related to returns‐based measures of the substitutability of ETFs for CEFs. 相似文献
17.
This study uses a large sample of UK‐listed closed‐end funds to examine whether governance has an impact on two indicators of fund performance: the level of fund‐management fees and the discount at which a fund trades. Fees are under the control of the directors, and we find that they are inversely related to fund returns, even after allowing for differences across investment sectors. Fees are, on average, higher if a fund has a large board, few directors from outside the fund‐family, many directors from within the fund‐family, and low ownership by the management company. Discounts for funds are wider if the management company or any blockholder has a significant long‐term stake, suggesting that investors are wary of entrenched management. The results suggest that boards are frequently compromised in their duty to shareholders by their dependence on fund‐management companies. 相似文献
18.
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. 相似文献
19.
公共养老储备基金的资产配置策略是以储备基金的营运目标为导向制定的。设定基准投资组合、分散化的全球资产配置、重视新兴市场与社会责任投资、再平衡策略与动态资产配置策略并重等成为近年来各国共公告养老储备基金资产配置的主要特征。基于全国社会保障基金的投资实践,文章提出了制定差异化的资产配置策略以实现不同阶段目标,投资监管模式和资产配置策略同步创新以实现投资监管与投资实践良性互动,加快资产配置策略的全球布局以实现区域经济套利和人口红利套利,注重储备基金的责任投资导向、凸显养老金绿色投资功能的改革建议。 相似文献
20.
Kevin C. H. Chiang 《The Journal of Real Estate Finance and Economics》2009,39(1):74-91
This study decomposes real estate investment trust (REIT) returns into two components: (1) real returns, and (2) public returns.
The real returns are based on the changes in the private, appraisal-based net asset values of REITs, whereas the public returns
are measured by the variations in REITs’ premiums/discounts. This study then investigates the price discovery of REIT prices.
The results indicate that lagged public returns are useful in predicting real returns. In addition, the study documents concurrent
factor exposures for public returns and lagged factor exposures for private returns under a variety of asset pricing models.
Overall, the results are consistent with the notion that public markets are more efficient in processing information.
相似文献
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