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Book Performance and Closed End Funds Discounts  A Comparative Study of UK Investment Trusts and US Closed End Funds

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.

Book Closed End Fund Pricing

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.

Book A Multifactor Model of Investment Trust Discounts

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:

Book The Investor s Guide to Closed end Funds

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:

Book The Closed end Fund Discount

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:

Book Investment Trusts and Funds from the Investor s Point of View

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:

Book Investment Trusts and Funds from the Investor s Point of View

Download or read book Investment Trusts and Funds from the Investor s Point of View written by Edward Crosby Harwood and published by . This book was released on 1951 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Closed End Fund Pricing

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.

Book Open End Investment Fund

Download or read book Open End Investment Fund written by D. C. Corner and published by Routledge. This book was released on 2019-07-23 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the entry of the United Kingdom into the European Economic Community on 1 January 1973, the opportunity presented itself for a study of open-end investment funds in the enlarged Community. The resulting book, which in a way is a natural sequel to the study Investment and Unit Trusts in Britain and America. (Elek: London, 1968), in which Dr Corner collaborated with Mr H. Burton, has been a long time in preparation, simply because of the sheer volume of statistical material- in particular, consistent sets of reports and accounts of all the EEC and Swiss investment funds - which has had to be collected. As a result, some of the analysis is based on what will inevitably be somewhat dated material at the time of publication. Unfortunately this is a handicap suffered by all such statistical work, unless one has large financial and manpower resources. We have done our best to update certain key statistics wherever this has been possible.

Book US UK Financial Integration and Investment Trust Pricing

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.

Book Investment Trusts and Funds from the Investor s Point of View

Download or read book Investment Trusts and Funds from the Investor s Point of View written by C. Russell Doane and published by . This book was released on 1963 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Essays on Closed End Funds

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.

Book Excess Volatility and UK Investment Trusts

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.

Book The Investment Trusts Handbook 2024

Download or read book The Investment Trusts Handbook 2024 written by Jonathan Davis and published by Harriman House Limited. This book was released on 2023-12-12 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Investment Trusts Handbook 2024 is the seventh edition of the highly regarded annual handbook for anyone interested in investment trusts – often referred to as the City’s best-kept secret, or the connoisseur’s choice among investment funds. It is expertly edited by well-known author and professional investor Jonathan Davis, founder and editor of the Money Makers newsletter and podcast. The Investment Trusts Handbook 2024 is an editorially independent educational publication, available through bookshops and extensively online. Described in the media as “truly the definitive guide to the sector”, more than 45,000 copies of the Handbook have been sold or downloaded since launch. With fascinating articles by more than 20 different authors, including analysts, fund managers and investment writers, plus more than 80 pages of detailed data and analysis, including performance figures, trust comings and goings and fund manager histories, the latest edition of the handbook is an indispensable companion for anyone looking to invest in the investment trust sector. Contributors this year include: John Baron, Alan Brierley, James Carthew, Richard Curling, Alex Davies, Simon Edelsten, Simon Elliott, Nick Greenwood, Peter Hewitt, Matt Hose, Max King, Ewan Lovett-Turner, Colette Ord, Peter Spiller, Richard Stone, Stuart Watson and many more. Topics in this year’s 280-page edition include: the impact of rising interest rates, tackling discounts, industry consolidation, the hunt for bargains, the role of boards, alternatives, VCTs, fundraising news, and the editor’s notes and model portfolios. The Investment Trusts Handbook 2024 is supported by a number of organisations including abrdn, Asset Value Investors, Baillie Gifford, Columbia Threadneedle Investments, Fidelity International, Invesco, Ocean Dial Asset Management Ltd, Pantheon, Polar Capital, and Schroders.

Book Herzfeld s Guide to Closed end Funds

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.

Book Evolution  Performance  Persistence and Tournament Aspects of U S  Closed end 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.