Download or read book An Empirical Investigation of the Investor Sentiment Hypothesis on Closed end Country Fund Discounts and Premiums written by Sungwon Suh and published by . This book was released on 1993 with total page 264 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 Investor Sentiment and the Closed end Fund Puzzle written by Charles Lee and published by . This book was released on 1990 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.

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 Investor Sentiment and the Closed End Fund Puzzle written by John A. Doukas and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 U.S. We fail to provide supporting evidence of the claim of Lee, Shleifer, and Thaler (1991) that investor sentiment affects the risk of common stocks. Consistent with Elton, Gruber, and Busse (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.

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 written by John Eric Richard and published by . This book was released on 1999 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Closed End Fund Discount Puzzle 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: Academic research has focused specifically on the enigmatic behavior of closed-end fund discounts, known in the literature as the closed-end fund discount puzzle. The extant evidence suggests that closed-end funds are issued at a premia with respect to their net asset values but typically trade at discounts thereafter, that the average closed-end fund trades at a significant discount relative to its net asset value, that discounts fluctuate widely over time and also across funds, and that closed-end fund prices converge to their net asset values when they are either liquidated or open-ended. Some of the theories that have been advanced attempting to explain the puzzle are efficient market based explanations and the Investor Sentiment Hypothesis. None of the theories, either individually or collectively, provide a sufficient explanation for the pricing of closed-end funds and, therefore, the enigma continues.

Download or read book A Model of the Discounts on Closed end Mutual Funds the Quantification Fo Investor Sentiment and the Inability of Arbitrage to Force Closed end Fund Share Prices to Par written by Sean Masaki Flynn and published by . This book was released on 2002 with total page 416 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 Investment Companies written by Michele Annette Burns and published by . This book was released on 1980 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Sentiment Expenses and Arbitrage in Explaining the Discount on Closed End Funds written by Gordon Gemmill and published by . This book was released on 2000 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory suggests that the persistent discount on closed-end funds is caused by management expenses, while investor sentiment contributes to its volatility. However, empirical studies have tended to support neither of these theories. In this paper we begin by showing how expenses and arbitrage may generate a plausible discount in the UK of about 13%. Cross-sectional tests on 158 equity funds over seven years find that the direct causes of smaller discounts are youth, ease of replication, large size and high dividend yield. Once age of fund is taken into account, the results support the hypothesis that larger expenses are associated with larger discounts. To test for the short-term impact of sentiment on the discount, we use monthly flows from retail investors into open-end funds as a proxy for retail-investor sentiment. Based on cointegration analysis of data by sector, we find a very strong short-term relationship between the closed-end fund discount and retail-investor sentiment. Finally, using data over the last 30 years, we find that discounts widen when the stockmarket is low, at which time small investors hold a much smaller proportion of the funds' shares than normal. Our study supports a rational basis for the existence of a long-run discount, while confirming that both short and medium-term fluctuations are related to investor sentiment.

Download or read book The Implications of Individual Investor Behavior for the Pricing of Closed end Funds and Small Firms written by Bhaskaran Swaminathan and published by . This book was released on 1994 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investor Sentiment and the Closed End Fund Puzzle written by Charles Lee and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.

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 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 2009-09-29 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 Premium Discount of Closed End Funds as a Measure of Investor Sentiment written by Dimitrios V. Kousenidis and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the proposition that the premium/discount (PD) of Greek closed-end funds (CEFs) is an accurate proxy for the small-investor sentiment risk. We find that the average PD explains the returns of portfolios of large capitalization and low book-to-market ratio stocks. In this context, we are unable to confirm a link between the perceived PD anomaly and the small size effect. Moreover, we show that the explanatory power of the PD for portfolio returns depends on the form of the asset pricing model used in the regression analysis. Finally, in terms of predictive ability, we find evidence that the PD predicts the size and the book-to-market premiums but little evidence that the PD predicts individual portfolio returns.