Download or read book Essays on Closed end Funds and Advance Disclosure of Trading written by Stephen L. Lenkey and published by . This book was released on 2012 with total page 0 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 Essays on Closed end Funds written by William D. Allen and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines two aspects of closed-end funds (CEF). First, a limited number of these funds maintain the historical management structure of internally allocating resources to investments as opposed to hiring an advisor external to the fund to position and administer the fund. Many in the managed fund universe, such as George Clark, claim shareholders are paying an onerous performance burden by investing in funds with the external management model. While I do find the internally managed funds exhibit significantly lower expense ratios than their externally managed peers, I do not find that these lower expenses translate to lesser discounts from NAV nor do they result in any superior performance except in the longest of horizons. I conclude that claims of an onerous tax inherent in the external management model to be erroneous. Second, a portion of trading profit from insider trading has been ascribed to an omniscience of firm prospects. Due to a known portfolio of assets and little proprietary knowledge, closed-end funds provide a very stable environment in which to examine insider trading. While I do find significant insider trading relative to the fund's discount, I do not find this to be evidence of any omniscience, but merely a trading strategy based on the mean-reverting nature of the fund discount. This is a trading strategy available to all investors, not merely the insiders. I conclude that some aspects of insider trading regulation and governance reform in the managed fund arena may be overly onerous.
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 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Despite the simplicity of their operations and the pricing of their underlying assets, closed-end funds are associated with some of the most puzzling anomalies in finance. Thus, the primary purpose of this thesis is to show why funds (especially closed-end funds) exist, why the variance of mutual fund returns can exceed the variance of the returns on their investment portfolios in a rational market, and how properly chosen remuneration schemes for fund managers lead to better fund pricing. Each of these topics constitutes a self-contained essay or chapter in the thesis. In the first essay, we demonstrate under which conditions closed-end mutual funds exist. In general, the time horizons of small investors must be in a range that eliminates the incentives for them to invest directly in investment projects while allowing managed investment fund managers to realize non-negative profits. The specific existence of closed-end mutual funds is related to the opportunity for some investors to liquidate their fund's shares before the termination of the fund and to the flexibility that open-end fund managers have to liquidate their assets under management. As the likelihood of "bank run" increases, so does the likelihood of issuing closed-end mutual funds. In the second essay, we challenge the current belief in finance that, if investors are rational, then the variance of the returns for the shares or units of a closed-end fund should equal the variance of the returns of the net asset value per share (NAVPS) of the portfolio of assets under management by the fund. We demonstrate that various factors lead to excess price variability, so that the ratio of price to NAVPS variances exceeds one in a rational market. These factors include a differential impact of the bid/ask bounce, potential fund liquidation, performance persistence, management fees, and payout policy. In the third essay, we demonstrate that well-chosen remuneration schemes can help investors to properly value the securities of closed-end funds in primary markets so as to better reflect the abilities of its managers. In contrast, the current compensation structures that are typically based on flat fees may induce good managers to exit the closed-end fund sector, and may leave this sector with managers that generate returns that are relatively low compared to their management fees. In turn, this may explain why such funds typically sell at a discount to their net asset value per share shortly after an initial public offering.
Download or read book Portfolio Trading and Information Transmission in Securities Markets written by Qinghai Wang and published by . This book was released on 2001 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay applies the model developed in the first essay to examine the implications of closed-end fund trading on the variation and information content of closed-end fund discounts. The model provides a rational expectation explanation for the time series properties of closed-end fund discounts based on information transmission across securities. The model shows that closed-end fund discounts can predict fund net asset value returns as well as fund price returns, but based on different information. Using weekly data on a sample of U.S. general equity closed-end funds and controlling for the difference between systematic information and security specific information, we find strong evidence supporting the model.
Download or read book Essays on Trading in Financial Markets written by Alessia Testa and published by . This book was released on 2012 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first part of the thesis consists of three chapters focusing on herd behavior in financial markets. Chapter one reviews the herding literature while chapter two studies a market where informed and noise traders show up sequentially and anonymously in front of a competitive and risk neutral market maker. Traders can in some cases observe whether some of their predecessors were informed, although they cannot observe their private in- formation. This creates an informational asymmetry between the traders and the market maker which generates herd behavior. I find that herd and contrarian behavior is gener- ated more easily in better-informed markets than in poorly informed ones. Informational cascades can never occur and the market learns in the limit. Moreover, I illustrate how a market dominated by herding features a price that is more informative of the asset value than the price of a market where traders always follow their signal. I also discuss how contrarianism has the exact opposite effect by decreasing price informativeness. In chap- ter two I consider the case of multiple trading rooms, where traders can in some cases observe whether some of the predecessors coming from the same room were informed. I first analyze herding conditions for the case of disconnected rooms where agents trading during the same time exhibit information correlation, and find that herding is more likely to occur in a market with positive correlation than in a market without correlation. I then link rooms by means of a network structure which dictates which rooms' predecessors one can observe. I check whether it is possible for a trader to herd with traders outside his own neighborhood instead of with his direct neighbors. I find that the answer to this question is negative and that herding cannot spread from one part of the market to another. Finally, I bring together information correlation and the network structure and I illustrate the example of a market where there are trading histories such that herd behavior can lead to the complete loss of information and, once herding has started, learning can be recovered only if noise traders enter the market. In the second part of the thesis I build a signalling model of delegated portfolio management where the manager can be of different qualities which affect the performance of the closed-end fund under his management. I find that in his effort to appear of high quality, the manager sends signals to the market which affect the share price of the fund in such a way that momentum and reversal are generated. While in the momentum phase, the price accumulates a discount with respect to its net asset value; during the reversal phase, the discount narrows and the price reverses back towards the net asset value of the fund.
Download or read book Essays on Intra market Efficiency and Financial Contagion written by Louis Richard Piccotti and published by . This book was released on 2014 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 Two Essays on Closed end Funds written by Anita K. Sigler and published by . This book was released on 1998 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Download or read book Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Download or read book Advances in Behavioral Finance Volume II written by Richard H. Thaler and published by Princeton University Press. This book was released on 2005-07-05 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a definitive and wide-ranging overview of developments in behavioral finance over the past ten years. In 1993, the first volume provided the standard reference to this new approach in finance--an approach that, as editor Richard Thaler put it, "entertains the possibility that some of the agents in the economy behave less than fully rationally some of the time." Much has changed since then. Not least, the bursting of the Internet bubble and the subsequent market decline further demonstrated that financial markets often fail to behave as they would if trading were truly dominated by the fully rational investors who populate financial theories. Behavioral finance has made an indelible mark on areas from asset pricing to individual investor behavior to corporate finance, and continues to see exciting empirical and theoretical advances. Advances in Behavioral Finance, Volume II constitutes the essential new resource in the field. It presents twenty recent papers by leading specialists that illustrate the abiding power of behavioral finance--of how specific departures from fully rational decision making by individual market agents can provide explanations of otherwise puzzling market phenomena. As with the first volume, it reaches beyond the world of finance to suggest, powerfully, the importance of pursuing behavioral approaches to other areas of economic life. The contributors are Brad M. Barber, Nicholas Barberis, Shlomo Benartzi, John Y. Campbell, Emil M. Dabora, Daniel Kent, François Degeorge, Kenneth A. Froot, J. B. Heaton, David Hirshleifer, Harrison Hong, Ming Huang, Narasimhan Jegadeesh, Josef Lakonishok, Owen A. Lamont, Roni Michaely, Terrance Odean, Jayendu Patel, Tano Santos, Andrei Shleifer, Robert J. Shiller, Jeremy C. Stein, Avanidhar Subrahmanyam, Richard H. Thaler, Sheridan Titman, Robert W. Vishny, Kent L. Womack, and Richard Zeckhauser.
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2004 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.
Download or read book Essays on Tax timing Options written by Chʻang-su Kim and published by . This book was released on 1991 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Essay on the Slavery and Commerce of the Human Species Particularly the African written by Thomas Clarkson and published by Jazzybee Verlag. This book was released on 1788 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: This essay was honoured with the first prize in the University of Cambridge for the year 1785 and was influential for Clarkson’s further career. Thomas Clarkson was an English abolitionist, and a leading campaigner against the slave trade in the British Empire. He was not only instrmuental in achieving the passage of the Slave Trade Act of 1807, which ended British trade in slaves, but also campaigned for the abolition of slavery worldwide.
