International Investment Restrictions and Closed-End Country Fund Prices

Some closed-end country funds trade at large premiums relative to their net asset values. This paper examines whether international investment restrictions raise country fund price-net asset value ratios by segmenting international capital markets. We test whether a relation exists between announcements of changes in investment restrictions and changes in these ratios using weekly data from May 1981 to January 1989. The results provide evidence that some foreign markets are at least partially segmented from the U.S. capital market.     

Closed-End Fund Shares' Abnormal Returns and the Information Content of Discounts and Premiums

Closed-end funds' discounts contain information in the sense that they can be used to construct portfolios that earn returns exceeding those predicted by the two-factor capital asset pricing model. The precise nature of the information contained in a discount is not clear, however. This paper provides evidence that the information contained in a discount is an incomplete prediction of the fund's likelihood of being open-ended profitably.