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This article provides an explanation of the fluctuations and persistence of excess discount return in the UK and the US. On average, Guirguis six - factor model can explain 67% of the variation in the excess discount return in the UK market by taking into consideration the market effect, size,...
Persistent link: https://www.econbiz.de/10012910926
Investment trusts or closed-end funds are known for the discount problem that arises within a few months. Specifically, According to Weiss (1989), shares in US funds are issued at a premium to net asset value, NAV, of up to 10 per cent. This premium represents the underwriting fees and start-up...
Persistent link: https://www.econbiz.de/10012890421
This article focuses on the importance of the traditional theories for the existence of the discount in relation to agency costs namely management performance. The argument that discounts reflect the quality of the management has been investigated in the past but the results were inconclusive....
Persistent link: https://www.econbiz.de/10012893199
In this article, we extend the three-factor of Fama and French’s (1993) model in order to explain the existence and persistence of the excess discount return. We added two more factors to these four risk measures namely market, size, book-to-market, and momentum. The first one is based on the...
Persistent link: https://www.econbiz.de/10013221453
In this article, we analyze the effects of the spread risk in terms of basis points from changes in the market prices of callable bond future due to credit risk. Due to the fact that fixed – income securities are debt that is issued and transferred between two parties there is significant...
Persistent link: https://www.econbiz.de/10013232222
Overestimation and Underestimation psychological paradigms, which constitute the two main theories, were the main building blocks of advances in Behavioral Finance. These two theories were added to explain noise trader risk, which is added to the fundamental risk that arbitrageur’s are facing....
Persistent link: https://www.econbiz.de/10013232482
This article examines the performance persistence of 603 closed-end funds over the period January 2010 to January 2020. We used a sample free of survivorship bias and measure performance using risk adjusted measures. Ten out of the twenty three categories showed high values of the Treynor,...
Persistent link: https://www.econbiz.de/10013403638
We check performance persistence of closed-end funds in terms of both market price returns and net asset value average returns in each category. In addition, we use regression models to test market timing ability. We use the entire population of 603 closed-end funds over the period 01/01/2010 to...
Persistent link: https://www.econbiz.de/10013403640
This article examines US closed-end funds using a sample of 603 closed-end funds from the period 2010 to 2020. The sample is free of survivorship bias. We find evidence of long-term managerial positive persistence. Performance is measured by Jensen’s alpha based on regression models such as...
Persistent link: https://www.econbiz.de/10013307991