Illiquidity And Closed End Country Fund Discounts
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Illiquidity And Closed End Country Fund Discounts
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Author : Ravi Jain
language : en
Publisher:
Release Date : 2008
Illiquidity And Closed End Country Fund Discounts written by Ravi Jain and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
In a simple model of segmented markets and exogenous liquidity shock, the closed-end country fund premium is negatively affected by the illiquidity in the host market where shares of the country fund are traded and positively affected by the illiquidity in the home market where the underlying assets are traded. To the extent that expected and unexpected liquidity affects asset prices and returns, the closed-end country fund premium should reflect the difference between the illiquidity of the fund shares and its underlying assets. Using the Amihud measure of illiquidity, we examine this conjecture for U.S. traded single country closed-end funds, and find a strong association between the fund premium and illiquidity in both the host and home markets. Moreover, this relation is much stronger for funds investing in emerging markets where market segmentation is more likely to be binding. These funds are also more sensitive to the systematic liquidity factor, suggesting that the country fund premium may contain a significant liquidity risk premium.
Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts
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Author : Justin S. P. Chan
language : en
Publisher:
Release Date : 2008
Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts written by Justin S. P. Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
In a segmented international capital market, illiquidity in the market in which the shares of a country fund are traded affects only the share price of the fund (S), while illiquidity in the market in which the underlying assets are traded affects only the fund net asset value (NAV). In an integrated market, illiquidity in one market can easily spill over to another and affect both the fund share price and its underlying asset value. It follows that the closed-end country fund premium, P=ln(S)-ln(NAV), is negatively (positively) affected by the share (asset) market illiquidity in segmented capital markets, but has only an ambiguous association with either share or asset market illiquidity in an integrated market. Empirical evidence from U.S.-traded single-country closed-end funds shows a strong negative (positive) association between the fund premium and the share (asset) market illiquidity, and the relation is much stronger for funds investing in segmented markets. The results suggest that relative market illiquidity plays a significant role in explaining the variation in closed-end country fund premia.
Illiquidity And The Closed End Country Fund Discounts
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Author : Ravi Jain
language : en
Publisher:
Release Date : 2004
Illiquidity And The Closed End Country Fund Discounts written by Ravi Jain and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts
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Author : Justin Chan
language : en
Publisher:
Release Date : 2005
Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts written by Justin Chan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Capital market categories.
In a segmented international capital market, illiquidity in the market in which the shares of a country fund are traded affects only the share price of the fund, while illiquidity in the market in which the underlying assets are traded affects only the fund net asset value (NAV).
The Closed End Fund Discount
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Author : Elroy Dimson
language : en
Publisher:
Release Date : 2002
The Closed End Fund Discount written by Elroy Dimson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business & Economics categories.
Uk Closed End Country Funds
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Author : Mary H. Fletcher
language : en
Publisher:
Release Date : 2013
Uk Closed End Country Funds written by Mary H. Fletcher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
In this thesis we investigate the relation between UK closed-end country fund pricing and measures of illiquidity, sentiment and segmentation. First, we examine whether the UK closed-end country fund premium is related to the illiquidity of the UK fund or the illiquidity of the country in which the fund invests. We also consider whether emerging market country funds behave differently in terms of their premium and illiquidity to developed market country funds, and in particular whether they offer more stability during the period of the recent financial crisis. Overall, we find country illiquidity plays a significant role in the premium of emerging market funds. However, in developed market funds country illiquidity is not significant. Fund illiquidity, in contrast, is significant for developed market funds but not for emerging market funds. Second, we analyse the effect of sentiment on the pricing of UK closed-end country funds between 1992 and 2009. We find that country consumer sentiment is significantly negatively related to the share price and NAV (net asset value) return over different time horizons. We also find that UK consumer sentiment is significantly negatively related to the closed-end fund premium. The results suggest that both institutional investors and so called 'discount traders' influence country fund pricing. Third, we examine the effect of time-varying direct investment barriers on the pricing of UK closed-end country funds in emerging markets. We focus on the post-liberalisation period (1993-2009) and analyse the relation between time varying measures of direct and indirect market segmentation. We find that the direct measures of capital market segmentation are significantly negatively related to both the share price return and the return on the NAV of UK closed-end country funds in emerging markets. We also find, however, that direct investment barriers have an insignificant effect on the premium.
Recent Turmoil In Emerging Markets And The Behavior Of Country Fund Discounts
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Author : Charles Kramer
language : en
Publisher:
Release Date : 1995
Recent Turmoil In Emerging Markets And The Behavior Of Country Fund Discounts written by Charles Kramer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Country funds categories.
Country Funds And Asymmetric Information
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Author :
language : en
Publisher: World Bank Publications
Release Date :
Country Funds And Asymmetric Information written by and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
What Moves The Discount On Country Equity Funds
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Author : Gikas Angelos Hardouvelis
language : en
Publisher:
Release Date : 1993
What Moves The Discount On Country Equity Funds written by Gikas Angelos Hardouvelis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Capital assets pricing model categories.
The paper characterizes several empirical regularities of closed- end fund prices and examines the extent to which a 'sentiment' model of asset prices is consistent with the empirical regularities. We find that after controlling for the effect of cross-border investment restrictions, country funds trade at an average discount. Discounts vary substantially and contribute to a variance in country fund weekly returns which is generally three times greater than the returns on the net asset value (NAV). Regression analysis suggests that discounts have predictive power for fund returns but not for NAV returns, suggesting that investor 'sentiment' is a component of the price of a fund and not its NAV. Estimation of an unobserved components model on the discounts of the funds reveals a significant and strongly persistent common component across fund discounts. Regressions of fund and NAV returns on financial variables reveal that fund prices are 'sticky' with respect to movements in the host country's stock market and overly sensitive to variation in the U.S. and world stock markets. This relation is unaffected when we consider separately funds whose host countries restrict cross-border investment and funds which invest in emerging stock markets.
Country Funds And Asymmetric Information
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Author : Jeffrey A. Frankel
language : en
Publisher:
Release Date : 1998
Country Funds And Asymmetric Information written by Jeffrey A. Frankel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Country funds categories.