Closed-End Fund Pricing: Theories and Evidence by Seth Anderson, Jeffery A. Born

By Seth Anderson, Jeffery A. Born

Closed-End funding businesses (CEICs) have skilled an important revival of curiosity, either as funding automobiles and because the topic of educational study, during the last decade. This educational examine has fascinated with the character of closed-end cash' rate reductions and rates and at the proportion cost habit of those businesses. the 1st booklet by means of the authors, "Closed-End funding businesses: matters and Answers," addresses closed-end fund educational articles released ahead of 1991. This moment e-book addresses these articles that experience seemed due to the fact that that time.
Closed-End Fund Pricing: Theories and Evidence is designed for the tutorial researcher attracted to CEICs and the practitioner drawn to utilizing CEICs as an funding automobile. The authors summarize the evolution of CEICs, current the standards inspiration to reason CEIC stocks to exchange at diversified degrees from their internet asset values, supply a whole survey of the hot educational literature in this subject, and summarize the present kingdom of study on CEICs.

Show description

Read Online or Download Closed-End Fund Pricing: Theories and Evidence PDF

Similar investing books

Exotic Options Trading (The Wiley Finance Series)

Weert's publication is a complicated foray into the use and pricing of unique recommendations. the place those are extensively outlined to be these suggestions whose payoffs cannot be duplicated by means of general options.

The major dependencies of choice pricing are studied. exceptionally, the rate of interest. although for these understanding calculus, the textual content says that this is often simply the partial spinoff of the choice rate with appreciate to the rate of interest. See how basic existence will get, should you comprehend calculus.

Option recommendations like name and positioned spreads are defined. those could be commonly used phrases to you, when you've got used general strategies. yet embellishments come up while facing exotics.

The textual content turns out to intentionally minimise the advanced maths serious about modelling pricing. maybe out of a wish to allure a large readership?

Advanced Option Pricing Models

Katz's ebook on complicated strategies Pricing bargains investors extra perception into boundaries and mistakes present in conventional pricing versions. For these folks that write mechanical techniques buying and selling platforms, relatively mix types, Jeff's ebook is a needs to learn. when you are an ideas fee researcher trying to find intensive complicated pricingmodel discovery, research and arithmetic, this publication may not be for you.

The option trader's workbook: a problem-solving approach

“Unlike so much books that oversimplify buying and selling occasions, Augen’s strategy forces you to profit via fixing real-world difficulties the place inventory costs spike up and down and volatility adjustments continuously. studying via doing is a unique virtue for either amateur and specialist. ” --Sean Sztern, replacement recommendations workforce, Desjardins Securities   “This workbook represents a different and potent studying software.

Introduction to Risk Parity and Budgeting

Even if portfolio administration didn’t swap a lot through the forty years after the seminal works of Markowitz and Sharpe, the advance of threat budgeting options marked an enormous milestone within the deepening of the connection among chance and asset administration. danger parity then turned a well-liked monetary version of funding after the worldwide monetary problem in 2008.

Additional info for Closed-End Fund Pricing: Theories and Evidence

Sample text

Market and the target market) to examine the return to EMCF shareholders. They report the explanatory power of the model to be twice that obtained with only the target market factor. S. market factor is statistically significant for 21 of the funds. S. market returns are high. S. market returns and foreign market returns could make investments in these markets attractive for diversification reasons. However, EMCFs appear to be poor vehicles for delivering this benefit. LaBarge, Karin P. and Richard A.

The lack of easy substitution and the lack of locally available spanning securities have little explanatory power for the premiums on emerging country funds. For the 13 developed economy funds, the authors also find the global factor most important in explaining discounts, but in a smaller percentage of the funds (8 out of 13). Substitution and spanning factors have virtually no explanatory power, and lack of access is not a factor by definition. Although the empirical evidence is limited to a single calendar year, the results yield evidence that country funds are imperfect vehicles for gaining international investment benefits, as measured by national indexes.

The authors examine the weekly returns of a sample of 15 closed-end country funds (CECFs) from January 1985 through December 1990. S. market returns, but usually (10 of 15 funds) have a stronger correlation with their respective local market. S. market return and local market return) model to explain returns to shareholders and changes in net asset value (NAV). S. market return "betas" than do their respective NAV returns. Focusing on the returns to CECF shareholders, the authors find they exhibit far greater pair-wise correlation than the correlation in changes in their respective NAV s or local market indices.

Download PDF sample

Rated 4.02 of 5 – based on 42 votes