Market Segmentation Liquidity Spillover And Closed End Country Fund Discounts
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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.
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.
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.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Mutual Fund Performance And Performance Persistence
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Author : Peter Lückoff
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-01-22
Mutual Fund Performance And Performance Persistence written by Peter Lückoff and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-22 with Business & Economics categories.
Peter Lückoff investigates why fund flows and manager changes act as equilibrium mechanisms and drive the performance of both previously outperforming and previously underperforming funds back to average levels.
Intelligent Techniques In Recommendation Systems Contextual Advancements And New Methods
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Author : Dehuri, Satchidananda
language : en
Publisher: IGI Global
Release Date : 2012-11-30
Intelligent Techniques In Recommendation Systems Contextual Advancements And New Methods written by Dehuri, Satchidananda and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-30 with Computers categories.
Although recommendation systems have become a vital research area in the fields of cognitive science, approximation theory, information retrieval and management sciences, they still require improvements to make recommendation methods more effective and intelligent. Intelligent Techniques in Recommendation Systems: Contextual Advancements and New Methods is a comprehensive collection of research on the latest advancements of intelligence techniques and their application to recommendation systems and how this could improve this field of study.
Foundations And Trends In Finance
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Author :
language : en
Publisher:
Release Date : 2005
Foundations And Trends In Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Finance categories.
Managing Elevated Risk
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Author : Iwan J. Azis
language : en
Publisher: Springer
Release Date : 2014-12-11
Managing Elevated Risk written by Iwan J. Azis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-11 with Business & Economics categories.
This book discusses the risks and opportunities that arise in Emerging Asia given the context of a new environment in global liquidity and capital flows. It elaborates on the need to ensure financial and overall economic stability in the region through improved financial regulation and other policy measures to minimize the emergent risks. "Managing Elevated Risk: Global Liquidity, Capital Flows, and Macroprudential Policy—An Asian Perspective" also explores the range of policy options that may be deployed to address the impact of global liquidity on domestic financial and socio-economic conditions including income inequality. The book is primarily aimed at policy makers, financial market regulators and supervisory agencies to help them improve national regulatory systems and to promote harmonization of national regulations and practices in line with global standards. Scholars and researchers will also gain important information and knowledge about the overall impacts of changing global liquidity from the book.
International Capital Flows
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Author : Martin Feldstein
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
International Capital Flows written by Martin Feldstein and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.