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Closed End Country Funds And International Diversification
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Book Synopsis Closed-End Fund Pricing by : Seth Anderson
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 Synopsis Closed-End Country Funds and International Diversification by : Andreas Charitou
Download or read book Closed-End Country Funds and International Diversification written by Andreas Charitou and published by . This book was released on 2016 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using data from 1993 to 2002 for eight developed and fifteen emerging markets, we find that return correlations, mean-variance spanning, and Sharpe ratio tests support that closed-end country funds (CECF) can mimic their corresponding foreign indices, and that they are more heavily influenced by their corresponding local markets instead of the U.S. market. This implies that U.S. investors, by investing in CECF, can achieve similar international diversification benefits to those achieved by investing directly in the foreign indices. We also document increased correlation between the U.S. market and foreign markets during this period and find no compelling evidence of economically and statistically significant international diversification benefits, as opposed to a pre-1993 period. These findings could be associated with the financial market liberalization that was prevalent during the period.
Book Synopsis International Diversification Through Closed-end Country Funds by : Eric C. Chang
Download or read book International Diversification Through Closed-end Country Funds written by Eric C. Chang and published by . This book was released on 1993 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Diversification Benefits of Ishares and Closed-End Country Funds by : Anita K. Pennathur
Download or read book Diversification Benefits of Ishares and Closed-End Country Funds written by Anita K. Pennathur and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the performance and diversification of iShares and their rival closed-end country funds from April 1996 to 1999. International iShares are country-specific series of securities that track the price and yield of a specific MSCI country index and, presumably, should provide diversification benefits. Our single-index model demonstrates that iShares replicate the home index, showing some potential for diversification. However, our two-factor model, which isolates the quot;truequot; diversification virtues, documents that both iShares and closed-end country fund market prices maintain considerable exposure to the U.S. market. Furthermore, the net asset value returns of the closed-end funds demonstrate a strong home country exposure, suggesting there is no substitute for direct foreign investment.
Book Synopsis The Superiority of Adrs Over Country Funds as a Tool for International Diversification by : Mary Schmid Daugherty
Download or read book The Superiority of Adrs Over Country Funds as a Tool for International Diversification written by Mary Schmid Daugherty and published by . This book was released on 2002 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study evaluates the appropriateness of country funds versus American Depository Receipts (ADRs) for international diversification for small domestic investors. During the past decade as more country funds have become available small domestic investors have embraced these funds as a tool for international diversification. During this same time period more and more ADRs are available but have been largely ignored by these same investors. This study shows that investors holding a diversified portfolio of ADRs would have realized a higher relative return on their investment than the same dollar investment in closed-end indexed country funds. A portfolio of all available ADRs from a specific country (i.e. ADR index) should provide similar returns to an indexed country fund. But ADRs offer distinct advantages over country funds. Because the ADRs have fewer costs associated with ownership this study proves that the advantages of ADRs over country funds make them a superior international investment for the small domestic investor. First, country funds trade at a discount to NAV and have liquidity issues that create a downward bias in absolute returns. This downward bias contributed to every individual country ADR index in our study earning higher average returns over the comparable country fund during the same investment time period. Secondly, the correlation with the Samp;P 500 Index is in most cases lower for the individual country ADR index versus the specific country fund. Hence the benefits of diversification are better with ADRs. Thirdly, ADRs are individual stock issues so there is no management fee. And, finally, ADRs as individual stock issues can be bought and sold as deemed appropriate by the investor hence all tax implications (capital gains and losses) are determined by the direct actions of the investor as opposed to the actions of the fund manager.
Book Synopsis Diversification, Integration and Emerging Market Closed-end Funds by : Geert Bekaert
Download or read book Diversification, Integration and Emerging Market Closed-end Funds written by Geert Bekaert and published by . This book was released on 1995 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits, we exploit the duality between Hansen-Jagannathan bounds [1991] and mean-standard deviation frontiers. We find significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to differences in portfolio holdings. To investigate global market integration, we compute the reduction in expected returns an investor would be willing to accept to avoid investment barriers in six countries. We find evidence of investment restrictions for Indonesia, Taiwan and Thailand, but not for Korea, the Philippines or Turkey.
Book Synopsis The Internationalization of Equity Markets by : Jeffrey A. Frankel
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Book Synopsis Closed-end Country Funds and U.S. Market Sentiment by : James N. Bodurtha
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:
Book Synopsis International Portfolio Investment: Theory, Evidence, and Institutional Framework by : Sohnke M. Bartram and Gunter Dufey
Download or read book International Portfolio Investment: Theory, Evidence, and Institutional Framework written by Sohnke M. Bartram and Gunter Dufey and published by . This book was released on 2001 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Closed-end Country Funds by : John Eric Richard
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:
Book Synopsis International Diversification Through IShares and Their Rivals by : Jie Cao
Download or read book International Diversification Through IShares and Their Rivals written by Jie Cao and published by . This book was released on 2017 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the diversification benefits of iShares in comparison to closed-end country funds (CECFs) and American Depository Receipts (ADRs) between April 1996 and December 2013. iShares are country-specific exchange traded funds that track specific Morgan Stanley Capital International (MSCI) country indices and thus are expected to provide superior diversification gains than their rivals. The main findings are: first, although all of these financial instruments exhibit significant exposure to U.S. market, they retain significant exposure to their home markets and provide important diversification benefits. Second, mean-variance spanning and Sharpe ratio test results provide strong evidence that iShares can neither outperform nor replace CECFs and ADRs for international diversification. Finally, a combination of these domestically traded securities could exhaust the gains from unattainable direct foreign investment.
Book Synopsis International Capital Flows by : Martin Feldstein
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Risk and Return in Trading Closed-End Country Funds by : Marcelle Arak
Download or read book Risk and Return in Trading Closed-End Country Funds written by Marcelle Arak and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The discounts of closed-end country funds, from their net asset value, vary substantially from week to week. Statistical tests in this paper indicate that these discounts are mean reverting and therefore the discount has a predictable component. We investigate whether additional returns can be gained from a strategy of switching from equities into the closed-end funds when the discount is large and selling the fund and rebuying equities when the discount narrows. Because only limited data exists for closed-end country funds, we use Monte Carlo simulations to calculate the expected returns from the strategy. These simulations show that substantial profits, over and above the returns on the portfolio of foreign stocks held by the fund, can be earned. One drawback to investing in these country funds is that their prices tend to be more highly correlated with the US market than their portfolios are. We estimate the relevant betas and compute the additional returns necessary to compensate the investor for the additional systematic risk. After netting out the risk compensation, substantial abnormal returns remain.
Book Synopsis Closed-End Country Funds and U.S. Market Sentiment, Mitsui Life Financial Research Center by : James N. Bodurtha
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.
Book Synopsis Swing Pricing and Fragility in Open-end Mutual Funds by : Dunhong Jin
Download or read book Swing Pricing and Fragility in Open-end Mutual Funds written by Dunhong Jin and published by International Monetary Fund. This book was released on 2019-11-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: How to prevent runs on open-end mutual funds? In recent years, markets have observed an innovation that changed the way open-end funds are priced. Alternative pricing rules (known as swing pricing) adjust funds’ net asset values to pass on funds’ trading costs to transacting shareholders. Using unique data on investor transactions in U.K. corporate bond funds, we show that swing pricing eliminates the first-mover advantage arising from the traditional pricing rule and significantly reduces redemptions during stress periods. The positive impact of alternative pricing rules on fund flows reverses in calm periods when costs associated with higher tracking error dominate the pricing effect.
Book Synopsis Empirical Perspectives on National Index Funds by : Ishac Diwan
Download or read book Empirical Perspectives on National Index Funds written by Ishac Diwan and published by . This book was released on 1993 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: U.S. investors could benefit from diversification that involves national index funds, particularly funds from countries to whose local markets they have limited access. Country funds also improve pricing efficiency in local capital markets and help local firms mobilize local capital at lower cost.
Book Synopsis Equity Portfolio Investment in Developing Countries by : Stijn Claessens
Download or read book Equity Portfolio Investment in Developing Countries written by Stijn Claessens and published by World Bank Publications. This book was released on 1993 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
