Closed End Fund Pricing

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Closed-End Fund Pricing

Author : Seth Anderson
Publisher : Springer Science & Business Media
ISBN 13 : 1475736339
Total Pages : 106 pages
Book Rating : 4.4/5 (757 download)

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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.

Investing in Closed-end Funds

Author : Albert J. Fredman
Publisher : Prentice Hall
ISBN 13 : 9780135034910
Total Pages : 492 pages
Book Rating : 4.0/5 (349 download)

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Book Synopsis Investing in Closed-end Funds by : Albert J. Fredman

Download or read book Investing in Closed-end Funds written by Albert J. Fredman and published by Prentice Hall. This book was released on 1991 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the only up-to-date comprehensive book on the subject written for investors as well as stock brokers and financial planners.

Closed-End Fund Pricing

Author : Seth Anderson
Publisher : Springer
ISBN 13 : 9781475736342
Total Pages : 102 pages
Book Rating : 4.7/5 (363 download)

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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. 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.

The Investor's Guide to Closed-end Funds

Author : Thomas J. Herzfeld
Publisher : McGraw-Hill Companies
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis The Investor's Guide to Closed-end Funds by : Thomas J. Herzfeld

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:

Herzfeld's Guide to Closed-end Funds

Author : Thomas J. Herzfeld
Publisher : McGraw-Hill Companies
ISBN 13 : 9780070284357
Total Pages : 453 pages
Book Rating : 4.2/5 (843 download)

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Book Synopsis Herzfeld's Guide to Closed-end Funds by : Thomas J. Herzfeld

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.

The Closed-end Fund Discount

Author : Elroy Dimson
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.E/5 ( download)

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Book Synopsis The Closed-end Fund Discount by : Elroy Dimson

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:

Closed-End Funds, Exchange-Traded Funds, and Hedge Funds

Author : Seth Anderson
Publisher : Springer Science & Business Media
ISBN 13 : 1441901671
Total Pages : 132 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Closed-End Funds, Exchange-Traded Funds, and Hedge Funds by : Seth Anderson

Download or read book Closed-End Funds, Exchange-Traded Funds, and Hedge Funds written by Seth Anderson and published by Springer Science & Business Media. This book was released on 2009-09-29 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Closed-End Funds, Exchange-Traded Funds, and Hedge Funds: Origins, Functions, and Literature is a concise and valuable book that will be of interest to individual investors, financial professionals, and academic researchers, alike. It provides a brief history and institutional discussion of these investment companies and also presents a summary of the research on these funds. Investment practitioners will find the book useful as a reference and as a quick refresher on the current state of knowledge regarding each fund type. Equally important, it provides academic researchers with an accurate institutional framework within which to cast their theoretical models, and a point of departure for expanding the empirical analysis for improving our understanding of these funds. All-in-all, this is a very valuable book; I highly recommend it." (John J. Jackson, Professor of Economics, Auburn University) "Professors Anderson, Born, and Schnusenberg provide a valuable service in this monograph. The practical significance of closed-end funds, exchange-traded funds, and hedge funds has increased dramatically in recent years, but all too many academics and investors know little about them. This text presents a carefully-focused and understandable description of these investment vehicles, highlighting the big, unresolved questions, while also including careful and fair accounts of the state of the literature. Nothing extraneous clutters the presentation, but, more importantly, nothing necessary is left out. Highly recommended." (T. Randolph Beard, Professor of Economics and Public Policy, Auburn University) "This book is both useful as a reference book and as an additive, educational overview of ETFs and hedge funds, as well as CEFs. In today’s tumultuous markets, much reference is made to these subjects without a clear understanding of the vehicles, their structure and their history. This is a very timely publication and should be viewed as an important read. The book contains definitive explanations and also includes an excellent summary of past works in this area. Readable, informative and highly useful as a reference source." (Kathleen A. Wayner, President and CEO, Bowling Portfolio Management)

The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading

Author : B. Philipp Kellerhals
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading by : B. Philipp Kellerhals

Download or read book The Dynamic Behavior of Closed-End Funds and its Implications for Pricing, Forecasting and Trading written by B. Philipp Kellerhals and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed-end funds (CEFs) show a distinctive feature in comparison to mutual funds: The market value determined on organized exchanges dynamically differs over time from the reported net asset value by a discount. This predominant capital market anomaly motivates our valuation model to price CEFs. We derive a stochastic pricing model that captures both the price risk of the funds as well as their risk associated with altering discounts. Implementing this theoretical model on a sample of emerging market closed-end funds we are able to infer insights into two potential applications for investors. First, we test the forecasting power of the pricing model to predict CEF market prices. Second, based on information on the premia we implement portfolio trading strategies using filter rules. The results on these suggested applications indicate that our pricing model generates valuable investment information.

A Model of the Discounts on Closed-end Mutual Funds, the Quantification Fo Investor Sentiment, and the Inability of Arbitrage to Force Closed-end Fund Share Prices to Par

Download A Model of the Discounts on Closed-end Mutual Funds, the Quantification Fo Investor Sentiment, and the Inability of Arbitrage to Force Closed-end Fund Share Prices to Par PDF Online Free

Author : Sean Masaki Flynn
Publisher :
ISBN 13 :
Total Pages : 416 pages
Book Rating : 4.:/5 (34 download)

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Book Synopsis A Model of the Discounts on Closed-end Mutual Funds, the Quantification Fo Investor Sentiment, and the Inability of Arbitrage to Force Closed-end Fund Share Prices to Par by : Sean Masaki Flynn

Download or read book A Model of the Discounts on Closed-end Mutual Funds, the Quantification Fo Investor Sentiment, and the Inability of Arbitrage to Force Closed-end Fund Share Prices to Par written by Sean Masaki Flynn and published by . This book was released on 2002 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Closed-End Investment Companies

Author : Seth Anderson
Publisher : Springer Science & Business Media
ISBN 13 : 9401129622
Total Pages : 146 pages
Book Rating : 4.4/5 (11 download)

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Book Synopsis Closed-End Investment Companies by : Seth Anderson

Download or read book Closed-End Investment Companies written by Seth Anderson and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Closed-End Investment Companies (CEICs) were the dominant form of investment companies in the United States during the early part of this century, but interest in them declined after the 1929 stock market crash. Since 1985, however, there has been a significant revival of interest in CEICs. A substantial amount of academic research has focused on the nature of closed-end funds, discounts and premiums, and on the share price behavior of these firms, which often results in the prices differing from the net asset value of the shares. This book 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 that cause CEIC shares to trade at different levels from their net asset values, provide a complete survey of the academic literature on this topic, and summarize the current state of research on CEICs.

Swing Pricing and Fragility in Open-end Mutual Funds

Author : Dunhong Jin
Publisher : International Monetary Fund
ISBN 13 : 1513519492
Total Pages : 46 pages
Book Rating : 4.5/5 (135 download)

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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.

Essays on Closed-end Funds

Author : Yves Trudel
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Essays on Closed-end Funds by : Yves Trudel

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.

The Post-offering Price Performance of Closed-end Funds

Author : Kathleen Weiss
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.3/5 (511 download)

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Book Synopsis The Post-offering Price Performance of Closed-end Funds by : Kathleen Weiss

Download or read book The Post-offering Price Performance of Closed-end Funds written by Kathleen Weiss and published by . This book was released on 1989 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Complete Guide to Closed-end Funds

Author : Frank A. Cappiello
Publisher :
ISBN 13 : 9780942641288
Total Pages : 268 pages
Book Rating : 4.6/5 (412 download)

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Book Synopsis The Complete Guide to Closed-end Funds by : Frank A. Cappiello

Download or read book The Complete Guide to Closed-end Funds written by Frank A. Cappiello and published by . This book was released on 1990 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Time Varying Investment Barriers and Closed-End Country Fund Pricing

Author : John Richard (Dick) Davies
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Time Varying Investment Barriers and Closed-End Country Fund Pricing by : John Richard (Dick) Davies

Download or read book Time Varying Investment Barriers and Closed-End Country Fund Pricing written by John Richard (Dick) Davies and published by . This book was released on 2014 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the effect of time-varying investment barriers on the pricing of UK closed-end country funds. We find that our direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for one of our indirect barriers (inflation variability) and price, NAV and premium. Overall our results support an information hypothesis rather than a diversification benefits hypothesis of the impact of investment barriers on closed-end fund pricing.

Recent Turmoil in Emerging Markets and the Behavior of Country-Fund Discounts

Author : Mr.Charles Frederick Kramer
Publisher : International Monetary Fund
ISBN 13 : 1451848951
Total Pages : 30 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Recent Turmoil in Emerging Markets and the Behavior of Country-Fund Discounts by : Mr.Charles Frederick Kramer

Download or read book Recent Turmoil in Emerging Markets and the Behavior of Country-Fund Discounts written by Mr.Charles Frederick Kramer and published by International Monetary Fund. This book was released on 1995-07-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper argues that recent movements in closed-end emerging markets funds present a strong challenge to the leading explanations of the behavior of closed-end country fund prices. In particular, closed-end funds dedicated to Mexico and other Latin American stock markets developed large premia after the December 1994 devaluation of the Mexican peso and the subsequent financial crisis. The so-called “investor sentiment hypothesis” could explain these events only by suggesting that investors became very optimistic about emerging markets stocks, and especially Mexican stocks; this possibility seems unlikely given the facts surrounding the devaluation. We argue instead that a sensible explanation for recent dynamics of closed-end country funds is that investors in these funds are loss-averse, implying that they do not want to realize paper losses on their closed-end fund shares. This works to put a drag on the downward movement in closed-end fund prices.

Closed-End Fund Discounts in a Rational Agent Economy

Author : Matthew I. Spiegel
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Closed-End Fund Discounts in a Rational Agent Economy by : Matthew I. Spiegel

Download or read book Closed-End Fund Discounts in a Rational Agent Economy written by Matthew I. Spiegel and published by . This book was released on 2000 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nearly any standard financial model concludes that two assets with identical cash flows must sell for the same price. Alas, closed-end mutual fund company share prices seem to violate thisfundamental tenant. Even when one considers several standard frictions, such as taxes and agency costs, classical financial models cannot explain the large persistent discounts foundwithin the data. While the standard financial markets model may not explain the existence of large closed-end fund discounts, this paper shows that a rather close version of it does. In anotherwise frictionless market, if asset supplies vary randomly over time and agents posses finite lives a closed-end mutual fund's stock price may not track its net asset value. Furthermore, the analysis provides a number of conditions under which these discrepancies will lead to the existence of systematic discounts for the mutual fund's shares. In addition, the model provides predictions regarding the correlation between current closed-end fund discounts and current changes in stock prices and future changes in corporate productivity. As the analysis shows the same parameter values that lead to systematic discounts also lead to other fund price characteristics that resemble many of the results found within empirical studies.