Discount persistence explanation from a behavioural point of view is a new area of research for both academics and practitioners. The interactions of both arbitrageurs and noise traders during the life of the fund will enable us to detect the effect of discount persistence based on an investor...

The bubble theory is controversial to the efficient market hypothesis. According to the efficient market hypothesis there is no asset mispricing. All information is incorporated into the asset prices and there are no deviations from the fundamental value. The NAV price of the closed-end funds...

This article provides a detailed analysis of performance persistence using data from Datastream for UK Investment Trusts. We tested for performance persistence by applying a rolling methodology for short-term period of one to three years and of longer horizons over five years. By applying Fama...

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,...

This article examines UK investment trusts predictability using a sample of 210 investment trusts from the period 1990 to 2006. The sample is free of survivorship bias. Performance persistence in the investment literature was a major area of investigation for both academics and practitioners for...

Using a value at risk methodology, VaR, we demonstrate the extent to which the mean-variance approach underestimates the tail risk of the probability distribution. We compare the long and short - run performance returns after fees deduction with the expected losses that are recorded at...

In this article, we are testing the performance of offshore hedge funds for the period 1998 to 2003. Offshore hedge funds are located for example in Cayman Islands, British Virgin Islands and Bermuda. Offshore hedge funds offer flexibility in terms that they invest in international equities,...

This article aims at testing empirically the major building blocks that affect the performance of different categories of hedge funds such as incentive fees, management fees, size, age, hurdle rate, high watermark provision and lockup period. We did not find performance persistence in the...

Commodity trading advisers, (CTA), or managed futures managers' trade in the commodity market. The hedge funds invest in commodity futures, currencies, bonds and shares. Hedge funds use managed futures in terms of indices, treasuries, fixed–income securities and commodities such as gold,...

In this paper, we are examining hedge funds risk and return profile for the period 1998 to 2003. The large range in returns and dispersion suggest that the mean variance approach may not indicate a complete picture of hedge funds performance. Our results suggest that for the examined period, we...