Download or read book Three Essays on Closed end Country Funds written by Doseong Kim and published by . This book was released on 2000 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Empirical Analysis of Closed end Country Fund Price Behavior written by Euiseong Lee and published by . This book was released on 2001 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Closed end Funds written by Jeffrey Ernest Pontiff and published by . This book was released on 1993 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Closed end Country Funds and Investment Trusts written by Urbi A. Garay and published by . This book was released on 2000 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Essays on Closed end Funds written by Yves Trudel and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on the Strategies of Mutual Funds written by Zhi Wang and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Closed end Fund Pricing written by Zhengzheng Li and published by . This book was released on 2005 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Three Essays on Initial Public Offerings and Market Information written by William C. Johnson and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Francisco Jose Guedes dos Santos and published by Stanford University. This book was released on 2011 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
Download or read book Essays on Country Funds Asymmetric Information and Contagion in International Capital Markets written by Sertio Luis Schmukler and published by . This book was released on 1997 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Portfolio Capital Flows to Emerging Markets written by Hui Miao and published by . This book was released on 1997 with total page 180 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 Science & Business Media. This book was released on 2002 with total page 124 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 Essays on Closed end Funds written by Tianna Yang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is comprised of three separate empirical chapters on the closed-end fund industry. The first chapter examines the performance and trading volume of UK Venture Capital Trusts (VCTs) focusing on the expiry of the minimum holding period required for investors to gain income tax relief on VCT shares bought at flotation. The second explores the effect of repurchase transactions on the stock liquidity of UK closed-end funds. The third chapter investigates the relationship between pay-performance sensitivity (PPS) and fund risk of US closed-end funds. The first empirical chapter finds negative abnormal returns and permanent increases in trading volumes at and around the expiry of the required holding periods of VCTs. VCTs investing in companies listed on the Alternative Investment Market experience higher abnormal returns and lower abnormal trading volumes than VCTs investing in unquoted companies. VCTs with better asset performance during the required holding period have lower abnormal returns and higher abnormal trading volumes. Income tax relief becomes more generous (increases from 20 to 40 percent) and holding periods shorter (from five to three years) over the sample period. The more generous (to the investors) the income tax relief, the higher the abnormal returns and the lower the abnormal trading volumes. The second empirical chapter reports that repurchase transactions improve the stock liquidity of closed-end funds suggesting that funds act as "competing market makers". However, the positive liquidity effect of repurchase transactions is short-lived and positively affected by the frequency of repurchase transactions. The positive effect seems to have been increased by the change in repurchase regulations on 1st December 2003 that allowed funds to re-issue repurchased shares and appears to have increased the ability of funds to manage their stock liquidity. The third empirical chapter finds that fund risk has a positive impact on fund PPS, suggesting that shareholders need to provide greater compensation incentives to managers of riskier firms to reduce the adverse selection problem. PPS has a positive effect on fund risk, which suggests that, in the closed-end fund industry, the increase in the value of the fund manager's wealth due to a higher PPS outweighs the negative effect of increased pay volatility on the manager's expected utility.
Download or read book Three Essays on Exchange traded Funds written by Daniel Elijah Sherrill and published by . This book was released on 2014 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on exchange-traded funds (ETFs). The dissertation research seeks to contribute to a deeper understanding of the impact of ETFs upon the financial markets, discover insights into the realm of performance persistence, and identify the factors leading to ETF liquidations. The first essay investigates the impact that sector exchange-traded funds have upon stocks that they hold. We find that sector ETF ownership is associated with stock return comovement, especially with other industry stocks that are also held by sector ETFs. We show that sector ETF ownership is related to a muted abnormal return and trading volume reaction to earnings surprises. Even when considering other types of institutional investors, sector ETFs appear to be the main driver behind these findings. The second essay documents the existence of ETF performance persistence. This calls into question interpretations used in the mutual fund literature suggesting performance persistence is evidence of manager skill. Given their passive nature, performance persistence should not exist amongst ETFs if the sole source of this persistence is manager skill. A decomposition of performance into stock composition and industry exposure sources reveals that this persistence is attributable predominately to a fund's industry exposure. Furthermore, the underlying source of the persistence is a flow-driven return effect where fund flows place price pressure on stocks leading to persistence in fund returns. An industry flow-based explanation best accounts for positive persistence of winners while stock flow-based reasons better explain persistence of past losers. The third essay studies the determinants of ETF liquidations. Investors are subject to tax, trading, and search costs as a result of holding a liquidated fund. I find that fund size and flows are essential to a fund's survival. Larger fund families are also more likely to produce funds that will avoid liquidation. Funds that are latecomers to a trending category that subsequently underperforms are less likely to survive. Finally, I find that the average investor holding a fund with an upcoming liquidation is best served to immediately sell the liquidating fund and purchase other funds in the same category.
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:
