Download or read book Performance and Closed End Funds Discounts A Comparative Study of UK Investment Trusts and US Closed End Funds written by Michel Guirguis and published by . This book was released on 2019 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article focuses on the importance of the traditional theories for the existence of the discount in relation to agency costs namely management performance. The argument that discounts reflect the quality of the management has been investigated in the past but the results were inconclusive. However, in these studies managerial performance is defined as the raw return on the fund's NAV ((Grinlatt and Titman (1992), Elton, Gruber, Das and Hlavka (1993), and Elton, Gruber, and Blake (1996a)), whereas I measure the manager's quality after adjusting for various anomalies documented in the Finance literature. Three methodologies will be applied. Fama and French (1993), three factor model, Ferson and Schadt (1996), conditional performance model and finally Carhart (1997), performance persistence theory. The results contradict Gruber's (1996) evidence of managerial performance persistence in the US mutual fund industry. We find no performance persistence in the UK closed-end fund market. We take into account the fact that closed-end fund managers trade on public information and follow dynamic trading strategies. So we will test if conditioning information predicts changes in discounts performance than constant expected returns. The problem of measuring the performance of managed portfolios has been the subject of research for more than 30 years. Traditional measures use unconditional expected returns, estimated by sample averages, as the baseline. However, if expected returns and risks vary over time, this may confuse common time-variation in fund risk and market risk premiums with average performance. In this way, traditional methods can ascribe abnormal performance to an investment strategy that trades mechanically, based only on public information.Conditional performance evaluation attempts to control these biases, while delivering potentially more powerful performance measures. In this article, I will review the main models for performance evaluation, and includes a summary of the empirical research.
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 Multifactor Model of Investment Trust Discounts written by Michel Guirguis and published by . This book was released on 2005 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Investment Trusts and Funds from the Investor s Point of View written by American Institute for Economic Research and published by . This book was released on 1954 with total page 104 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 US UK Financial Integration and Investment Trust Pricing 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: This paper finds that increases in implied volatilities on the FTSE 100 Index lead to stock price declines on the only two U.K. investment trusts that invest exclusively on the U.S. market, and that increases in implied volatilities on the Samp;P 500 Index -that is, on implied volatilities on the market where the investment trusts' net asset values are determined- leads to stock price and net asse value declines in the USA. This paper contributes to the growing literature on the importance of local and foreign factors in determining asset prices and sheds light on the old quot;closed-end fund discount puzzlequot.
Download or read book Essays on Closed End Funds written by Gary Paul McCormick and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed end funds provide a unique asset class for academic research due to that fact that they typically trade at a price different from the Net Asset Value (NAV). This is known as the discount. The first essay examines that voluntary change from weekly to daily NAV reporting. Surprisingly, this additional information generates greater information asymmetry. This supports the theory that a skilled subset of investors can exploit public information by processing it into private information and/or opinion. The result is that these funds are riskier, have greater transaction costs. The second essay examines the hypothesis that discount is the price investors are willing to pay for future performance. Earlier work found that the hypothesis is true for equity funds but not bond funds. The findings here are that the relation has changed over time. The hypothesis now holds for international funds (bond and equity) but not domestic funds. The third essay studies the timing ability of fixed income closed end fund managers. Fund flows may hamper (open) mutual fund managers' performance. Fixed income portfolio management should be more an issue market and interest timing due to the fact that bonds of the same characteristics (yield, duration, coupon and credit rating) are close substitutes. The findings are of no timing ability, but also, no evidence of the perverse that is common in the literature.
Download or read book Excess Volatility and UK Investment Trusts written by Sam Agyei-Ampomah and published by . This book was released on 2002 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: The possible tendency of stock prices to fluctuate excessively has figured prominently in the debate on market efficiency. Recent research in the USA indicates that the volatility in closed end fund returns is far greater than that of the fund's underlying portfolio. UK investment trusts are the equivalents of closed end funds in the US, however there are a number of institutional differences between them. The purpose of this study is to extend this research by investigating for the UK market the issues examined by Pontiff (1997). Given the sample of trusts studied, it was also possible to develop the analysis in more detail. Our main findings can be summarised as follows: (1) there is evidence of excess return volatility in UK investment trusts similar to that observed in US closed end funds; (2) the excess volatility in fund returns is consistent across different fund classifications and characteristics; (3) Pontiff's (1997) observation that closed end fund returns underreact to returns on the underlying portfolio cannot be supported in our study. The findings provide evidence suggestive of irrational market behaviour. New findings not previously documented for the US market include evidence that the excess volatility is consistent substantially across different asset categories, especially foreign asset categories. Investor sentiment is frequently cited as an explanation for the anomalous behaviour of US closed end funds, since a high proportion of closed end stocks are held by private investors. As similar behaviour is observed in the UK investment trusts, despite a high proportion of institutional clientele, the role of investor sentiment can be questioned.
Download or read book Herzfeld s Guide to Closed end Funds written by Thomas J. Herzfeld and published by McGraw-Hill Companies. This book was released on 1993 with total page 453 pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed-end funds continue to gain prominence as one of today's most popular vehicles for buying stocks and bonds. This text aims to provide individual investors and professionals with access to information on these funds.
Download or read book Evolution Performance Persistence and Tournament Aspects of U S Closed end Funds written by Rangarajan Krishnakishore and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The thesis deals with the evolution of Closed End Funds (CEFs) styles over time, performance of CEFs by investment objective, persistence of CEF performance, and the tournament aspects of within-calendar-year performance. The number and dollar investment in CEFs with various investment objectives are studied. The change in investment in funds with particular investment objective(s) is also studied for the period, 1981-1995. Empirical results based on the Jensen measure are obtained for funds with different investment objectives. These results are obtained using several different criteria for both weekly market price returns and weekly NAV returns. Empirical results suggest that Corporate Bond CEFs and Municipal Bond CEFs have cross-sectional alphas of more than 1.5% and International Equity CEFs have negative cross-sectional alpha of 2.1%. International Equity CEFs beta values suggest higher sensitivity relative to the CRSP equity index. Tests using data for the common period 1991-95 reveals that all CEFs have positive cross-sectional alphas except for International Equity CEFs. Also, our hypothesis that mean alphas are negative during the first year of fund inception is confirmed by our regression results. Tests of winner-winner or winner-loser effects (tests for continuation or reversal of persistence) using monthly data reveals that four of fourteen years exhibited persistence, four years had reversals and one year had ambiguous results. A study of significant mid-tournament time period in altering risk/return postures of CEFs reveal that major decisions on re-balancing are taken in the first half of a calendar year. Tests are done for funds with different year-ends. Tests reveal that, regardless of the year-end for any CEF considered within the portfolio, the January to June period exhibits very significant changes in the risk/return postures of CEFs.
Download or read book Closed End Funds Market Description and the Behavioral Explanation of the Discount written by Christos C. Frangos and published by . This book was released on 2010 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed-End funds cover approximately 40% of the Investment Funds, in the world market, that reached US dollars 11,7 trillion at the end of 2002. The market is captured by the US and EU Investment Funds that cover almost 95% of total assets. Existing since 1868, Closed-End Funds offer most of the advantages of the collective investments, and one threat that can prove to be an important opportunity: The Discount to the Net Asset Value (NAV) that they usually trade. The discount threat, can lead to superior total returns and this is one of the reasons why this small collective investment market still exists. We focus on the behavioural explanation of the discount puzzle, as it explains also the existence of periods or funds that are sold or traded at prices higher to their NAV.
Download or read book Short Term and Long Term Performance Persistence written by Michel Guirguis and published by . This book was released on 2018 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The existing literature of performance persistence of UK investment trusts is limited. We are going to use a sample of 210 UK investment trusts to test performance persistence in different time periods. Berk and Green (2004) suggests that performance persistence and managerial skill are limited if the assumptions of perfect capital markets and decreasing returns to scale in fund management hold. We sort funds into rank portfolios based on past performance. When funds are sorted into deciles portfolios, the statistical test that is used is Spearman rank correlation coefficient. Funds during the third year show a negative and statistically significant correlation coefficient, which is an evidence of weak performance persistence of funds that showed negative and bad performance during the short-term of the first three years.
Download or read book Closed end Fund Discounts and Investor Sentiment Evidence from U K Investment Trusts written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 封閉型基金的掛牌買賣價格, 與其投資標的淨資產價值аж, НЕТ АССЕТ ЖАЛУЕ)̌, ı̇ư̆�Ư̄̄·ı̃ʼ̄·̇ð̄Œ̇ʺ̄ʼʺ̈, ı̃£̄�£̃̇ð10%Ч20%̇̆̄£̇�ł̈Ł, Ø̈±Œ̈̇ðø̈Ł̄Ư̄ıı̃̇ı̃·̇ʼ̇ʻı̄ı(АНОМАЛЫ). ̆♭̆ ̇♭̇œƯ̄ı̈ ̄̇łœ̇�̆̇̆ʹ̇ʹ̈ð̄Œʹ̈Đ̌Ư̆Þ·̇ʼ̇�ł̈Ł, ®̈̇ð̆�̄ð̌ʼ̇Ł̇̇ı̇�̆Ł̈·̇�, ̆đ̈·̆̇æ̆̄̆ʹ̆̆�·̇ ̄œı̃̇ʺ̄ʼ̇ʻƯ̇Ư̇ʹ̈ð̄Œ�̃ʹ̈Đ̌Ư̆Þı̃̇�ł̈Ł, ữı̃Œø̆̆̇ø�̄ı̃̈þ̇æ̇±̈. �̈̆�̃Æ�̃, ̆Ư̄ı̈ ̄♭̈Œ�̄Ł̈̇ðø̈Ł̄Ư̄ı̇ʹ̈ð̄Œ, ®̈̇ðʻ̄̌̄̄ð̌̇̆ð̆Ø̄£̇�ł̈Ł̄ ̄œ£̄ ð̄Œ̇ʼ̈̄, ̆�̇ł̆ơ̆đ̈ð̃ð̆ ʺ̇(ИНЖЕСТОР СЕНТИМЕНТ)̇đ̆Ø̄̆̌ ̆. ̌Þð̃̄đæ̇ł̇�̈þƯ̆ı·̆Łơ̄, ̆þ̆ı̃ʻ̄Ư̄ı̈ �̃ǢþƠ̈£̇·̈̌̆£ơ̄̄̆, �̃Œ̄ø̈Ł̄̆̌ð̄̄̇·̈łÞ̄̆ʺ̄ʹ. ̆Ơ ̇♭̇œ̄đ�̃Æ̆̌ð̄̄£̃̄ʼ ̆£®̆Øʼ̄(УНИТ РООТ ТЕСТ), ̄ł̆þ̄̇�ł̈Ł®̆Øʼ̄(ЦО-ИНТЕГРАТИОН ТЕСТ)̄гРАНГЕР̄ ̆̌�̃®̆Øʼ̄(гРАНГЕР цАУСАЛИТЫ ТЕСТ)Ư̇Ư̇̆£ơ̄, ̄̆ʻ̄̌̄̄ð̌̆ð̆Ø̄£̇�ł̈Ł̆�̄Œ̇ł̆đ̈ð̃ð̆ ʺ̇̆̌ ̆, ̄ ̄œ ̄♭̈ ̌̆�̄Œ̆ ̄ł̆þ̄̇�ł̈Ł. ̌̇œʺ̄ø̆̌·̄̆̇�̆Ø·̈Ł̌ỡơƯ̈ʻŁ̌, ữʺ̈·̄�̆ơ̈̄̆̌ı̄ı̄ ̌̆ơ̈ł, �̇ ̄♭̄, ı̃̈ł, �̇ ̄♭̄ı̄ ̄þ̌Đ̄·̇ð̄ŒÞ̄®±̌, ̄�̈ưư̄ł̌�̄̆æ̇̆̇Ư̆ĐØ̇ð̆ʹ;̌ÞƯ̆Þ£̃Þ̄, ·̆Đ̆Ơ̄̆̆̌ð̃Œ̌ı̄ıı̃œ̈ ̌̄£̄þ. ̆Ơ ̇♭̇œ�̃Æ1991-2005£̄þ̈ł̄̆̇£̃ʻ̄̌̄̄ð̌̇ð ̇♭̇œ·̆Đ̆Ơ, ı̃Œ̄ ̄±̆đ̈·̆̇̇ð̆Æ̆Ơ̇ʻ̄̌̄̄ð̌, ̌øŁ̈̈ł̄, ̆Æ̆Ơ£̃̌̇ʺ̈·̄̆ʹ�̆ơ̈;ı̃ữ̆̆þœ̈đÞ̄ ̇·̆Đ̆Ơ̆̌̌ʺð̄Œ, ð̃Œ̈ư♭̌Ư̈̆�̄Œı̃̄ʺ̈·̄̄̆ð̃Œ̆̆̇ı̄æ̇±̈. ̄ł̆þ̄̇�ł̈Ł®̆Øʼ̄̄гРАНГЕР̄ ̆̌�̃®̆Øʼ̄Þ̄ʹ̈þ̆�̆Ł̈̇ðø̈Ł̄Ư̄ı̇ʹ̈ð̄Œ. ữ̈ł̄, ̆Æ̆Ơʺ̈·̄�̆ơ̈̇æ̇̆, ỡơ£̃ı̃Œı̃ʼ̄ ̄·Ư̇̄̆ơ̄�̈ʻ̈ł, �̇ʺ̈·̄�̆ơ̈̇æ̇̆. �̄ðƯ̈ʻ�̄ð̇̄��̄̆̇̄̈̆đ̈·̆̇̄̄̌Đ̄·̇ð̄Œơ̈ữ̇ʻ̄̌̄̄ð̌ữ̇ð ̇♭̇œ̆£̄.
Download or read book Closed end Funds written by Amy P. Wiseman and published by . This book was released on 2018 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed-end funds (CEF) are a unique family of mutual funds because they trade at a price that is different than the value of the assets in their portfolios. The deviation of the price of a CEF from the value of its underlying assets is seen as a discount when the price is less than the value and a premium when it is greater. The discrepancy between price and underlying value is perplexing. Why would a seller of fund shares accept less than the value of the assets? Why would a buyer pay more for a share than its assets are worth? These questions are known as the CEF puzzle. This study built multiple regression models using publicly available measures of CEF characteristics to predict premium/discount (PD). Further, these models were used to uncover fund-level factors driving levels of PD. A multiple regression model using 34 measures was generated that predicted a full 87% of the variance PD. Because of the high collinearity and even overlap of the measures used in this model, no statement could be made about the nature of predictors influencing PD. A model using 9 principal components extracted from continuous measures and 4 categorical measures predicted 59% of the variance in PD and yielded a view of factors driving PD. Using PCA components, it was found that whether a fund was sponsored by Pacific Investment Management Company, LLC (PIMCO) was the dominant factor in the level of PD as almost all PIMCO CEFs trade at a premium. Controlling for PIMCO, annualized rate of return followed by distribution rate, past performance measures, prevailed. PD was found to be very strongly determined by past performance.
