Incomplete Information And The Closed End Fund Discount

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Incomplete Information and the Closed-end Fund Discount

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (631 download)

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Book Synopsis Incomplete Information and the Closed-end Fund Discount by :

Download or read book Incomplete Information and the Closed-end Fund Discount written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We model the closed-end fund discount/premium in a version of Merton's (1978) asset pricing model with incomplete information. In this economy, investors trade only assets which they " know about" . The model generates a closed-end fund discount or premium, depending on risk-aversion parameters. The fund share price reverts to the net asset value on open-ending of the fund. The discount/premium is a result of two economic forces: (1) the fund manager's objective is to maximize expected utility of her fee income rather than the welfare of fund shareholders. Mis-alignment of objectives of the fund manager and shareholders results in discount/premium, and (2) for given risk aversion parameters, diversification benefits to investors determine the size of the discount/premium. Pontiff (1996) documents a positive relation between discounts and unhedgeable risk. This evidence along with other findings leads Pontiff to conclude that discounts appear to be a result of mispricing. Our model provides an alternative interpretation on the positive relation found by Pontiff based on the economic forces depicted above.

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.

Incomplete Information and the Closed-end Fund Discount

Author : Giovanni Barone-Adesi
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (786 download)

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Book Synopsis Incomplete Information and the Closed-end Fund Discount by : Giovanni Barone-Adesi

Download or read book Incomplete Information and the Closed-end Fund Discount written by Giovanni Barone-Adesi and published by . This book was released on 1999 with total page 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 : 144190168X
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 2009-09-18 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)

ETF Advisor Diploma - City of London College of Economics - 3 months - 100% online / self-paced

Author : City of London College of Economics
Publisher : City of London College of Economics
ISBN 13 :
Total Pages : 1000 pages
Book Rating : 4./5 ( download)

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Book Synopsis ETF Advisor Diploma - City of London College of Economics - 3 months - 100% online / self-paced by : City of London College of Economics

Download or read book ETF Advisor Diploma - City of London College of Economics - 3 months - 100% online / self-paced written by City of London College of Economics and published by City of London College of Economics. This book was released on with total page 1000 pages. Available in PDF, EPUB and Kindle. Book excerpt: Overview Did you ever want to know more about ETFs? With this diploma course you will acquire an in-depth understanding to become a successful ETF Advisor. Content - What ETFs are - How ETFs are Created and Priced - ETFs Compared to Index Mutual Funds - Advantages and Disadvantages of ETFs - Tax and Operational Efficiency of Exchange-Traded Funds - International Diversification of ETFs - ETF Basket - ETF Regulation - Comparing Fees by Structure - Actively Managed ETFs - Calculating the Net Asset Value - Currency ETFs -And much more Duration 3 months Assessment The assessment will take place on the basis of one assignment at the end of the course. Tell us when you feel ready to take the exam and we’ll send you the assignment questions. Study material The study material will be provided in separate files by email / download link.

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:

The information contents of closed-end fund discounts revisited : is the market inefficient?

Author : Zhongjian Xia
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (248 download)

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Book Synopsis The information contents of closed-end fund discounts revisited : is the market inefficient? by : Zhongjian Xia

Download or read book The information contents of closed-end fund discounts revisited : is the market inefficient? written by Zhongjian Xia and published by . This book was released on 1995 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Closed-End Fund Discount Puzzle

Author : Urbi Garay
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Closed-End Fund Discount Puzzle by : Urbi Garay

Download or read book The Closed-End Fund Discount Puzzle 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: Academic research has focused specifically on the enigmatic behavior of closed-end fund discounts, known in the literature as the closed-end fund discount puzzle. The extant evidence suggests that closed-end funds are issued at a premia with respect to their net asset values but typically trade at discounts thereafter, that the average closed-end fund trades at a significant discount relative to its net asset value, that discounts fluctuate widely over time and also across funds, and that closed-end fund prices converge to their net asset values when they are either liquidated or open-ended. Some of the theories that have been advanced attempting to explain the puzzle are efficient market based explanations and the Investor Sentiment Hypothesis. None of the theories, either individually or collectively, provide a sufficient explanation for the pricing of closed-end funds and, therefore, the enigma continues.

Closed-End Fund Discounts and Expected Investment Performance

Author : Robert Ferguson
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Closed-End Fund Discounts and Expected Investment Performance by : Robert Ferguson

Download or read book Closed-End Fund Discounts and Expected Investment Performance written by Robert Ferguson and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article provides empirical support for the theory that closed-end fund discounts reflect expected investment performance. Evidence is presented to explain how equity closed-end fund initial public offerings (IPOs) can sell at a premium when existing funds sell at a discount and why the initial IPO premiums decay after the IPO. Relative premium decay data are presented. Tests on (1) the relation between relative premium changes and investment performance following IPOs, (2) relative premium mean-reversion following management changes, and (3) net redemptions following closed-end fund open-endings for funds trading at pre-open-ending announcement discounts individually support and collectively strongly support the theory.

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.

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.

A Rational Model of the Closed-end Fund Discount

Author : Jonathan B. Berk
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (249 download)

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Book Synopsis A Rational Model of the Closed-end Fund Discount by : Jonathan B. Berk

Download or read book A Rational Model of the Closed-end Fund Discount written by Jonathan B. Berk and published by . This book was released on 2004 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The discount on closed-end funds is widely accepted as proof of investor irrationality. We show,however, that a parsimonious rational model can generate a discount that exhibits many of the characteristics observed in practice. The only required features of the model are that managers have (imperfectly observable) ability to generate excess returns; they sign long-term contracts guaranteeing them a fee each year equal to a fixed fraction of assets under management; and they can leave to earn more money elsewhere if they turn out to be good. With these assumptions, time-varying discounts are not an anomaly in a rational world with competitive investors -- they are required.

Asset Pricing

Author : B.Philipp Kellerhals
Publisher : Springer Science & Business Media
ISBN 13 : 3540246975
Total Pages : 247 pages
Book Rating : 4.5/5 (42 download)

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Book Synopsis Asset Pricing by : B.Philipp Kellerhals

Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.

Essays on Asymmetric Information in International Finance

Author : Aaron Hong Wai Low
Publisher :
ISBN 13 :
Total Pages : 394 pages
Book Rating : 4.:/5 ( download)

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Book Synopsis Essays on Asymmetric Information in International Finance by : Aaron Hong Wai Low

Download or read book Essays on Asymmetric Information in International Finance written by Aaron Hong Wai Low and published by . This book was released on 1992 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Synthetic and Structured Assets

Author : Erik Banks
Publisher : John Wiley & Sons
ISBN 13 : 0470031530
Total Pages : 280 pages
Book Rating : 4.4/5 (7 download)

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Book Synopsis Synthetic and Structured Assets by : Erik Banks

Download or read book Synthetic and Structured Assets written by Erik Banks and published by John Wiley & Sons. This book was released on 2006-02-03 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Organized along product lines, the book will analyze many of the original classes of structured assets, including mortgage- and asset-backed securities and strips, as well as the newest structured and synthetic instruments, including exchange-traded funds, credit derivative-based collateralized debt obligations, total return swaps, contingent convertibles, and insurance-linked securities. Two introductory chapters will outline the scope of the market, key definitions, participant motivations/goals, economics of structuring and synthetic replication, and the central "building blocks" used in the creation of synthetic/structured assets (including on-balance sheet assets and liabilities, derivatives, shelf registration debt programs, private placements, trusts, and special purpose entities). Eight product chapters will then examine the main instruments of the marketplace: mortgage- and asset-backed securities, stripped/reconstituted government securities, collateralized debt obligations, structured notes, insurance-linked securities, exchange-traded funds, convertible bond variations, and derivatives/synthetic asset replication. Each product chapter will contain product descriptions, structural features (e.g., trading conventions, settlement), arbitrage/investment drivers, and various worked examples and diagrams that emphasize practical investment and risk applications; financial mathematics will be kept to a minimum. A concluding chapter will review the essential risk, legal, regulatory, and accounting features of synthetic and structured assets in the world's major markets.

Handbook of the Economics of Finance

Author : G. Constantinides
Publisher : Elsevier
ISBN 13 : 0080495087
Total Pages : 698 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis Handbook of the Economics of Finance by : G. Constantinides

Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.

Advances in Investment Analysis and Portfolio Management (New Series) Vol．7

Author : Cheng F. Lee
Publisher : Center for PBBEFR & Airiti Press
ISBN 13 : 9864370480
Total Pages : pages
Book Rating : 4.8/5 (643 download)

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Book Synopsis Advances in Investment Analysis and Portfolio Management (New Series) Vol．7 by : Cheng F. Lee

Download or read book Advances in Investment Analysis and Portfolio Management (New Series) Vol．7 written by Cheng F. Lee and published by Center for PBBEFR & Airiti Press. This book was released on 2016-01-01 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.