全球智库信息集成服务系统(G2TT): What Moves the Discount on Country Equity Funds?

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w4571
来源ID	Working Paper 4571
	What Moves the Discount on Country Equity Funds?
	Gikas A. Hardouvelis; Rafael La Porta; Thierry A. Wizman
发表日期	1993-12-01
出版年	1993
语种	英语
摘要	The paper characterizes several empirical regularities of closed- end fund prices and examines the extent to which a 'sentiment' model of asset prices is consistent with the empirical regularities. We find that after controlling for the effect of cross-border investment restrictions, country funds trade at an average discount. Discounts vary substantially and contribute to a variance in country fund weekly returns which is generally three times greater than the returns on the net asset value (NAV). Regression analysis suggests that discounts have predictive power for fund returns but not for NAV returns, suggesting that investor 'sentiment' is a component of the price of a fund and not its NAV. Estimation of an unobserved components model on the discounts of the funds reveals a significant and strongly persistent common component across fund discounts. Regressions of fund and NAV returns on financial variables reveal that fund prices are 'sticky' with respect to movements in the host country's stock market and overly sensitive to variation in the U.S. and world stock markets. This relation is unaffected when we consider separately funds whose host countries restrict cross-border investment and funds which invest in emerging stock markets.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w4571
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/561953
推荐引用方式 GB/T 7714	Gikas A. Hardouvelis,Rafael La Porta,Thierry A. Wizman. What Moves the Discount on Country Equity Funds?. 1993.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w4571.pdf（812KB）	智库出版物		限制开放	CC BY-NC-SA	浏览