Download or read book Closed End Fund Pricing written by Seth Anderson and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Study of the Price and Volatility of Closed end Country Fund Shares and Net Asset Value written by Woojin Hahn and published by . This book was released on 1993 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Closed End Country Funds and U S Market Sentiment Mitsui Life Financial Research Center written by James N. Bodurtha and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The premiums on closed-end country funds tend to move in tandem, but do not move together with premiums on domestic closed-end funds. After controlling for foreign market fundamentals, changes in the stock price of country funds co-move with U.S. market returns, but changes in their net asset values do not. An index of changes in country fund premiums explains cross-sectional stock returns in the U.S. market. Collectively, these findings suggest U.S. stock prices are affected by market-wide sentiments which are reflected in closed-end country fund premiums.
Download or read book Closed End Funds Exchange Traded Funds and Hedge Funds written by Seth Anderson and published by Springer Science & Business Media. This book was released on 2009-09-18 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Closed-End Funds, Exchange-Traded Funds, and Hedge Funds: Origins, Functions, and Literature is a concise and valuable book that will be of interest to individual investors, financial professionals, and academic researchers, alike. It provides a brief history and institutional discussion of these investment companies and also presents a summary of the research on these funds. Investment practitioners will find the book useful as a reference and as a quick refresher on the current state of knowledge regarding each fund type. Equally important, it provides academic researchers with an accurate institutional framework within which to cast their theoretical models, and a point of departure for expanding the empirical analysis for improving our understanding of these funds. All-in-all, this is a very valuable book; I highly recommend it." (John J. Jackson, Professor of Economics, Auburn University) "Professors Anderson, Born, and Schnusenberg provide a valuable service in this monograph. The practical significance of closed-end funds, exchange-traded funds, and hedge funds has increased dramatically in recent years, but all too many academics and investors know little about them. This text presents a carefully-focused and understandable description of these investment vehicles, highlighting the big, unresolved questions, while also including careful and fair accounts of the state of the literature. Nothing extraneous clutters the presentation, but, more importantly, nothing necessary is left out. Highly recommended." (T. Randolph Beard, Professor of Economics and Public Policy, Auburn University) "This book is both useful as a reference book and as an additive, educational overview of ETFs and hedge funds, as well as CEFs. In today’s tumultuous markets, much reference is made to these subjects without a clear understanding of the vehicles, their structure and their history. This is a very timely publication and should be viewed as an important read. The book contains definitive explanations and also includes an excellent summary of past works in this area. Readable, informative and highly useful as a reference source." (Kathleen A. Wayner, President and CEO, Bowling Portfolio Management)
Download or read book The Design and Pricing of Country Funds Under Market Segmentation written by Cheol S. Eun and published by . This book was released on 1997 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Investor s Guide to Closed end Funds written by Thomas J. Herzfeld and published by McGraw-Hill Companies. This book was released on 1980 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Closed end Fund Discount written by Elroy Dimson and published by . This book was released on 2002 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Closed End Fund Pricing written by Seth Anderson and published by Springer. This book was released on 2013-02-16 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Post offering Price Performance of Closed end Funds written by Kathleen Weiss and published by . This book was released on 1989 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Swing Pricing and Fragility in Open end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Download or read book The Closed End Funds written by Martin Cherkes and published by . This book was released on 2011 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a new explanation to the closed-end funds' puzzles. It is driven by two observations: the fact the closed-end fund is a public company with a guaranteed, long-term annual compensation for Fund's entrenched management; and the assumption (acceptable within classical rational-and-efficient-markets paradigm) that management adds value to assets-under-their-management. As a result, the value of the closed end fund's shares is an algebraic sum of assets-under-management plus the [capitalized] value-added by the management minus the [capitalized] value of the costs-of-management. This approach is rich enough to explain several of perceived quot;puzzlesquot;, such as the persistence of discounts, relationship between a Fund's discount and its dividend policy, the zero correlation between discounts and interest rates, and the excess volatility of Fund's share price. It suggests a positive theory of the closed-end fund as an efficiency-driven organizational form of fund management.The paper's arguments are supported by our preliminary empirical study. The approach provides a number of empirically testable hypotheses.
Download or read book International Mutual Funds Capital Flow Volatility and Contagion A Survey written by Mr.R. Gelos and published by International Monetary Fund. This book was released on 2011-04-01 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gaining a better understanding of the behavior of international investors is key for informing the debate about the optimal response to capital flows and about reforms to the international financial architecture. In this context, recent research on the behavior of international mutual funds at the micro level has expanded our knowledge about the drivers of portfolio flows and the mechanisms behind the transmission of financial shocks across countries. This paper provides a brief survey of this literature, with a focus on the empirical evidence for emerging markets. Overall, the behavior of international mutual funds is complex and overly simplistic characterizations are misleading. However, there is broad-based evidence for momentum trading among funds. Moreover, funds tend to avoid opaque markets and assets, and this behavior becomes more pronounced during volatile times. Portfolio rebalancing mechanisms are clearly important in explaining contagion patterns, even in the absence of common macroeconomic fundamentals. From a surveillance point of view, this implies that monitoring the exposures of large investors at a micro level is crucial to assess vulnerabilities.
Download or read book Risk Premia and Closed End Country Fund Returns written by Urbi Garay and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A large amount of research has focused on various explanations concerning the enigmatic behavior of closed-end fund discounts and premiums. Past research has also shown the relation between changes in implied volatility, a surrogate for changes in risk premia, and changes in a firm's value. The objective of this study is to determine whether increases in implied volatilities on national stock indices affect the prices, net asset values (NAVs), and premiums of closed-end country funds (CECFs) and investment trusts (ITs). Implied volatilities on national stock indices refer to implied volatilities on indices representative of both, the market where the funds trade (New York -if it is a CECF and London -if it is an IT), and the market where the prices of the securities that compose the fund (i.e. the NAV) are determined (e.g. Paris -if we are referring to a French fund).
Download or read book The Information Content of Single Country Closed End Fund Discounts written by Theodosis L. Kallenos and published by . This book was released on 2019 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using monthly data from 1996 to 2018 for the universe of single country closed-end funds, we study the information content of fund discounts/premiums. Unlike previous studies, we find that discounts/premiums forecast both share price (SP) and net asset value (NAV) returns. Additional tests show that the fund discounts/premiums contain information about future macroeconomic factors of their corresponding countries. We also find a strong association between expectations of future macroeconomic conditions and the difference in NAV and SP returns. Our results provide direct evidence for the presence of fundamental information in closed-end country fund discounts/premiums, consistent with international capital market segmentation.
Download or read book Closed End Investment Companies written by Seth Anderson and published by Springer. This book was released on 2012-10-08 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed-End Investment Companies (CEICs) were the dominant form of investment companies in the United States during the early part of this century, but interest in them declined after the 1929 stock market crash. Since 1985, however, there has been a significant revival of interest in CEICs. A substantial amount of academic research has focused on the nature of closed-end funds, discounts and premiums, and on the share price behavior of these firms, which often results in the prices differing from the net asset value of the shares. This book 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 that cause CEIC shares to trade at different levels from their net asset values, provide a complete survey of the academic literature on this topic, and summarize the current state of research on CEICs.
Download or read book Closed end Country Funds and U S Market Sentiment written by James N. Bodurtha and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Complete Guide to Closed end Funds written by Frank A. Cappiello and published by . This book was released on 1990 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
