Time-varying investment barriers and closed-end country fund pricing

Richard Davies; Mary Fletcher; Andrew Marshall

doi:10.1016/j.frl.2017.01.004

Time-varying investment barriers and closed-end country fund pricing

Richard Davies, Mary Fletcher, Andrew Marshall

School of Business and Creative Industries

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

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Abstract

We examine the effect of time-varying investment barriers on the pricing of UK closed-end country funds. We find that a direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for one of our indirect barriers (inflation variability) and price, NAV and premium. Overall our results support an information hypothesis of the impact of investment barriers on closed-end fund pricing.

Original language	English
Pages (from-to)	66-71
Number of pages	6
Journal	Finance Research Letters
Volume	21
Early online date	10 Jan 2017
DOIs	https://doi.org/10.1016/j.frl.2017.01.004
Publication status	Published - 31 May 2017

Keywords

Closed-end country funds
Investment trusts
Investment barriers

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10.1016/j.frl.2017.01.004

2017 01 09 Davies et al Time-varying acceptedAccepted author manuscript, 606 KBLicence: CC BY-NC-ND

Mary Fletcher
- School of Business and Creative Industries - Lecturer
Person: Academic

Cite this

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title = "Time-varying investment barriers and closed-end country fund pricing",

abstract = "We examine the effect of time-varying investment barriers on the pricing of UK closed-end country funds. We find that a direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for one of our indirect barriers (inflation variability) and price, NAV and premium. Overall our results support an information hypothesis of the impact of investment barriers on closed-end fund pricing.",

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AB - We examine the effect of time-varying investment barriers on the pricing of UK closed-end country funds. We find that a direct measure of capital market segmentation is significantly negatively related to both country fund stock return and Net Asset Value (NAV) return of the fund, but there is no relation to the premium. Also we find some evidence of a positive relation for one of our indirect barriers (inflation variability) and price, NAV and premium. Overall our results support an information hypothesis of the impact of investment barriers on closed-end fund pricing.

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Time-varying investment barriers and closed-end country fund pricing

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Keywords

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Mary Fletcher

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