Good-deal Performance Bounds and the Diversification Benefits of U.S. International Equity Closed-end Funds

Jonathan Fletcher

doi:10.1142/9789819809950_0046

Good-deal Performance Bounds and the Diversification Benefits of U.S. International Equity Closed-end Funds

Jonathan Fletcher

Accounting And Finance

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

I use the best clientele (BC) performance measure of Chretien and Kammoun (2017) to evaluate the diversification benefits of U.S. international equity closed-end funds (CEFs). I find that both investment sector CEF portfolios and a large proportion of individual funds provide large, significant diversification benefits for the BC of investors. In contrast, using the Law-of-One-Price (LOP) performance measure of Chen and Knez (1996) yields no significant diversification benefits. There are large and significant differences between the BC and LOP performance measures, highlighting the importance of investor heterogeneity in evaluating the diversification benefits of international CEFs.

Original language	English
Title of host publication	Handbook of Financial Econometrics, Statistics, Technology, and Risk Management
Editors	Cheng-Few Lee, Alice Lee, John Lee
Chapter	46
Pages	1563-1585
Number of pages	23
ISBN (Electronic)	978-981-98-0996-7
DOIs	https://doi.org/10.1142/9789819809950_0046
Publication status	Published - May 2025

Keywords

Diversification benefits
Good-deal performance
Closed-end funds

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10.1142/9789819809950_0046

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abstract = "I use the best clientele (BC) performance measure of Chretien and Kammoun (2017) to evaluate the diversification benefits of U.S. international equity closed-end funds (CEFs). I find that both investment sector CEF portfolios and a large proportion of individual funds provide large, significant diversification benefits for the BC of investors. In contrast, using the Law-of-One-Price (LOP) performance measure of Chen and Knez (1996) yields no significant diversification benefits. There are large and significant differences between the BC and LOP performance measures, highlighting the importance of investor heterogeneity in evaluating the diversification benefits of international CEFs.",

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AB - I use the best clientele (BC) performance measure of Chretien and Kammoun (2017) to evaluate the diversification benefits of U.S. international equity closed-end funds (CEFs). I find that both investment sector CEF portfolios and a large proportion of individual funds provide large, significant diversification benefits for the BC of investors. In contrast, using the Law-of-One-Price (LOP) performance measure of Chen and Knez (1996) yields no significant diversification benefits. There are large and significant differences between the BC and LOP performance measures, highlighting the importance of investor heterogeneity in evaluating the diversification benefits of international CEFs.

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KW - Closed-end funds

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BT - Handbook of Financial Econometrics, Statistics, Technology, and Risk Management

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A2 - Lee, Alice

A2 - Lee, John

ER -

Good-deal Performance Bounds and the Diversification Benefits of U.S. International Equity Closed-end Funds

Abstract

Keywords

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